Análise dos efeitos de crises em ações de valor e ações de crescimento no mercado brasileiro

Abstract

This study aimed to analyze the influence of crises on value stocks and growth stocks of B3 and IBOVESPA, using the three-factor model according to Fama and French (1992). In order to respond to the objective of this study, data were collected on the economática® platform of B3 and IBOVESPA companies in the period from 2005 to 2021. The research hypotheses were tested using the multiple regression model in a similar way to that used by Fama and French (1992), adding crisis dummy variables. The result obtained confirms the hypothesis that the price of IBOVESPA growth shares had a higher return than value shares during the COVID19 crisis period. Therefore, the results of this thesis indicate that the COVID crisis had a greater positive impact on the price of growth stocks.