Comparative analysis of equity investment strategies of Brazilian companies

Study Objective: this paper aims to compare the buy-and-hold (B-H) strategy with the Shiryaev-Zhou (S-Z) index signaling with stocks listed in B3. Methodology / Approach: the methodology adopted consists in estimating the S-Z index and calculating the result for the B-H strategy for the analyzed period (2008-2015). The daily prices of 29 Ibovespa shares were collected from the Economatica (R) database. The analysis was performed with and without the incidence of transaction costs in annual windows, in order to identify the specific characteristics of the strategies, year by year and in portfolios, in order to compare their results. Originality / Relevance: this research is the first in the national literature that aims to compare two investment strategies in the stock market, B-H with the S-Z index signaling, which through the estimation of return and volatility seeks to identify opportune moments of buying / selling of assets. Main Results: the results generally indicate that the B-H strategy was more profitable for equities in the period under review, however, indicating that the S-Z index may be useful for equity investments with the prospect of downturns in recessionary periods, because the S-Z index mitigates losses, since it shows losses lower than those of B-H. Theoretical / methodological contributions: this paper makes a practical application of an S-Z index in equity investment strategy, not yet explored in the national literature, which, with relative efficiency, enabled the maximization of investor results, thus being a counterpoint to the B-H strategy.