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.本数据集为巴西股市中基于规则的格雷厄姆式股票筛选策略的相关实证研究，提供了完整的结果复现套件。套件包含可独立运行的Python脚本与配套Excel工作簿，可复现核心统计检验、稳健性分析与基准对比实验。 该套件涵盖以下内容：(i) 年度与月度推断检验（含异方差自相关一致推断与基于重采样的置信区间）；(ii) 采用公开可用的NEFIN（Núcleo de Estudos em Finanças, FEA-USP，巴西圣保罗大学经济、管理与会计学院金融研究中心）因子数据，通过时间序列因子回归开展风险调整绩效分析；(iii) 基于敏感性检验与五分位分析生成的稳健性结果表；(iv) 透明化的交易成本敏感性分析（按每笔交易基点bps计算），该分析量化了交易成本对累计绩效指标的影响。 所有计算均通过可验证的Excel工作簿与独立Python脚本完成，以保障可审计性与复现性。脚本支持离线运行（无需额外外部下载），计算结果将以电子表格格式输出，便于直接检视与核查。 数据来源说明：用于风险调整的因子序列基于NEFIN（Núcleo de Estudos em Finanças, FEA-USP，巴西圣保罗大学经济、管理与会计学院金融研究中心）；基准收益率序列（如Selic，巴西官方基准利率）均取自公开官方数据源。