Published 2022-01-01
“…In this paper, multifactor asset pricing models are used to assess and compare the performance - through the analysis of Jensen’s alpha - of three equity portfolios constructed according to the value investing strategies proposed by Joseph Piotroski, Benjamin
Graham, and Joel Greenblatt. Three portfolios are constructed according to the methodologies developed by each author, using financial and accounting data from a sample of 598 stocks traded in the Brazilian stock exchange during the period
Jan/2006-Dec/2019. …”
Get full text
Article