The objective of this paper is to investigate herding behavior in the Brazilian stock mutual funds. Through the study of the 100 largest funds of the category, between September/2004 and July/2008, two herding indexes are analyzed: (i) the index, proposed by Lakonishok, Shleifer and Vishny...

The Present Value Model (PVM) – in which current security prices depend upon the present value of future discounted dividends, where the discount rate is equivalent to the required rate of return – is one of the long-standing principles of Finance Theory. The objective of this work is to...

This research aims to investigate, through simulation models, how the interaction among agents in an artificial stock market can affect the dynamics of asset prices. Thus, the study follows a different methodology for the analysis of prices by exploring the simulation of agents' behavior in an...

Some studies suggest that low capitalization stocks have great potential to provide returns above the market average, although some indicate that investment in small caps should be avoided, since they are market anomalies with low liquidity. This article develops a method based on an automated...