Value Investing in Brazil: Long-Term Returns Relative to the Market Benchmark

This dataset provides a complete replication package for the empirical results reported in the associated study on a rules-based, Graham-style equity screening strategy in the Brazilian stock market. It includes self-contained Python scripts and companion Excel workbooks that reproduce the main statistical tests, robustness analyses, and benchmark comparisons.

The package contains: (i) annual and monthly inference tests (including heteroskedasticity/autocorrelation-consistent inference and resampling-based confidence intervals), (ii) risk-adjusted performance analysis via time-series factor regressions using publicly available NEFIN factor data, (iii) robustness tables based on sensitivity checks and quintile-style analyses, and (iv) a transparent transaction-cost sensitivity analysis (bps per trade) reporting the impact on cumulative performance metrics.

All calculations are provided in verifiable Excel workbooks and standalone Python scripts to facilitate auditability and replication. The scripts are designed to run offline (no external downloads required), and outputs are generated in spreadsheet format for straightforward inspection.

Data sources: The factor series used for risk-adjustment are based on NEFIN (Núcleo de Estudos em Finanças, FEA-USP). Benchmark rate series (e.g., Selic) are based on publicly available official sources.