Piotroski, Graham and Greenblatt: an Empirical Approach to Value Investing in the Brazilia

598 stocks traded on the Brazilian stock exchange from January 2006 to December 2019 form the basis for three equity portfolios constructed using the value investing strategies of Joseph Piotroski, Benjamin Graham, and Joel Greenblatt. The dataset, created by Carlos Domingues, is used to assess portfolio performance via Jensen's alpha within multifactor asset pricing models, including an extended five-factor model. Regression results indicate the strategies generated positive and statistically significant alphas, though excess return estimates varied across model specifications.

Use Cases

• Empirical testing of value investing strategies based on the methodologies of Piotroski, Graham, and Greenblatt.
• Performance analysis of equity portfolios using Jensen's alpha within multifactor asset pricing models.
• Comparative assessment of different model specifications, such as CAPM versus a five-factor model with an illiquidity factor.

Strengths

• Data covers a 14-year period from January 2006 to December 2019, providing a substantial time series for analysis.
• Analysis is based on a sample of 598 stocks from the Brazilian stock exchange.
• Performance is evaluated using multiple model specifications, including a five-factor model extending the Carhart four-factor model.

Limitations

• Column-level documentation is absent; field semantics must be inferred after download.
• Row count is unknown, which may limit suitability assessment.
• Last update date is unknown; freshness unverified.

Provenance

Source

Carlos Domingues

Collection Method

Constructed using financial and accounting data from a sample of stocks traded on the Brazilian stock exchange.

Time Range

January 2006 to December 2019

Geography

Brazil