Análise da aplicação do alfa de Jensen em ações nacionais do setor financeiro da BM&FBOVESPA no período de 2015 a 2016

Abstract

The Jensen’s Alpha indicator, developed by Jensen (1969), is a methodology that seeks to measure how much an asset is above or below its expected price. Since the modern portfolio theory, proposed by Markowitz (1952), the studies on asset pricing went through various frameworks and applications. One of the most relevant studies was developed by Sharpe (1964), Litner (1965) and Mossin (1966), whom established the CAPM methodology, a simplifying hypothesis of asset pricing. This work has taken up several relevant contributions made in the subject until nowadays and applied the Jensen’s Alpha methodology for BM&FBOVESPA national assets of the financial sector, with daily data from the years 2015 and 2016. In the application, it was possible to notice a good adaptation of the methodology to the Data observed, where the behavior of prices of each asset actually tends to grow at times of positive alpha, while at times of negative alpha these prices tend to decline. In addition, a great number of descriptive and performance statistics were applied on the assets, in order to understand the situation of each stock.