Anomalia entre risco e rendibilidade: evidência no mercado português

Abstract

This study intends to analyse the phenomenon of the anomaly between profitability and risk in the Portuguese capital market. In this context, we collect the information of all the shares that constitute the PSI-Geral index, for the period from January 2002 to December 2013. We constructed portfolios according to the historical volatility and systematic risk for the period under review, as well as for two sub periods, according to economic conditions. The results show a negative correlation between market volatility and return over the period under review, being more pronounced in 2008. The application of performance measures showed the existence of an anomaly between the volatility and the return of portfolios securities, more pronounced for the recession period (2008-2013). However, this type of anomaly did not occur when we consider the systematic risk.