A Análise das demonstrações financeiras na formação de uma carteira de ações na B3

Abstract

This study seeks to analyze the financial demonstrations to form a stock portfolio at B3 in the time span of 2010 to 2018, aiming to verify if this strategy brings consistent returns over the analysis period. The research used Piotroski’ s (2000) methodology and indicators, as well as Mohanram’s (2005) comparison analysis with the market average, adapted to the paper’s reality and limitations. The analysis shows that the F_SCORE investment strategy is more profitable than the market index, while the average return adjusted to the one year (two years) market is 14,96% (36,07%) in relation to Ibovespa. Regarding the accumulated return, the winner portfolio reached an exceeding return in one year of 202,74% over Ibovespa. The strategy shows consistency, due to the fact of achieving positive returns in every analyzed year, especially during Ibovespa’s recession and negative return years, 2011 and 2012, when Ibovespa devalued -13,59% and -9,82% and the F_SCORE portfolio yielded 19,83% and 14,63% respectively. From the results found in this paper, it is possible to comprehend that applying Piotroski’s (2000) precepts in the brazilian stock market proves to be efficient, consistent and profitable.