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Newton da Costa, Jr., Marcus Lima, Edgar Lanzer and Ana Lopes
 
''DEA investment strategy in the Brazilian stock market''
( 2008, Vol. 13 No.2 )
 
 
This paper presents a multi-period investment strategy using Data Envelopment Analysis (DEA) in the Brazilian stock market. Results show that the returns based on the DEA strategy were superior to the returns of a Brazilian stock index in most of the 22 quarters analyzed, presenting a significant Jensen's alpha.
 
 
Keywords:
JEL: M0 - Business Administration and Business Economics; Marketing; Accounting: General
M2 - Business Economics: General
 
Manuscript Received : Dec 04 2007 Manuscript Accepted : Mar 26 2008

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