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| Newton da Costa, Jr., Marcus Lima, Edgar Lanzer and Ana Lopes |
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| ''DEA investment strategy in the Brazilian stock market'' |
| ( 2008, Vol. 13 No.2 ) |
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| 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. |
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| Keywords: |
JEL:
M2 - Business Economics: General |
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| Manuscript Received : Dec 04 2007 | | Manuscript Accepted : Mar 26 2008 |
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