Dividend Cagr as an Asset Selection Criterion in Momentum Strategies of Brazilian Reits / Cagr de Dividendos como Critério de Seleção de Ativos em Estratégias de Momentum de Fundos de Investimentos Imobiliários Brasileiros

Raphael Pereira de Souza; Raphael Moses Roquete; André Carvalhal da Silva

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<line> Centro Unv*rsitário Santo Agostinho </line>

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<line> www*.fsanet.com.*r/revista </line>

<line> I*SN Impresso: 180*-6356 ISSN *letrô*ico: 2317-2983 </line>

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<line> Divi*end Cagr as an Asset Selection Cr*t*rion in Mo*en*um Str**egies of Brazi**an Reits </line>

<line> Cag* de Dividend*s com* C*itério de *eleção de Ati**s em E*tratégia* de M*mentu* d* </line>

<line> Fundos *e Investimentos Imo*il*ários Brasilei*** </line>

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<line> Raphael P*reira de Souza </line>

<line> M*ster\s in b*siness admi*istration (Unive*si*y of Bordeaux) </line>

<line> E-m*il: raphae*pe*eira@ano**adroga*ia.*om.br </line>

<line> Raphae* M**es Roque*e </line>

<line> Doutor em Admin*s*ração pel* Universida*e Federal do Rio de *ane*ro </line>

<line> Professor *o CO*PE*D/Uni*ersidade *ed*r*l do Rio de *ane*ro </line>

<line> Email: rapha*l.moses@coppead.ufrj.br / raphael@*acc.ufrj.br </line>

<line> PhD in Business *d*inis*ration (Uni*ersity o* *a*chester) </line>

<line> Assistant Prof*ssor o* F*nance (COP**A* Gra*uate Sch*ol of Busin**s) </line>

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<line> End*reço: Raph*el Perei*a de So*za </line>

<line> Editor-**efe: </line>

<line> Kerley </line>

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<line> *n*versidade </line>

<line> Federal d* </line>

<line> **scoal </line>

<line> *odrigues </line>

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<line> Lemme, 355 - </line>

<line> CE*. 21941-**8, Brasil. </line>

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<line> Endereço: </line>

<line> Raphae* Moses Ro*uete </line>

<line> Artigo recebido em 1*/01/202*. Ú*tima vers*o </line>

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<line> Univers*dad* </line>

<line> Pascoal </line>

<line> receb*da em 29/01/*025. *p*ovado *m 30/01/2025. </line>

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<line> Lemme, 355 - </line>

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<line> An*re Lui* C*rval*al da Silva </line>

<line> Avalia*o pe*o sistema Tripl* Review: Desk Revi*w *) </line>

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<line> *ni*ersidade </line>

<line> *ederal do </line>

<line> de J*neiro, Rua </line>

<line> pelo E*itor-Chefe; e b) Double Blind Re*ie* </line>

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<line> CEP. 21941-918, Brasil. </line>

<line> (av*liaçã* ceg* por dois avaliadores da ár*a). </line>

<line> Revisão: G*ama*ical, Norm*tiva e de Formatação </line>

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<line> R. P. Souza, R *. Roquete, A. *. *. Silva </line>

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<line> RESUMO </line>

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<line> This study see*s ** </line>

<line> in*roduce s**ect*on *r**erion app*icabl* to a </line>

<line> port*olio creati*n *trateg*es. </line>

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<line> We propose, supported b* e*p*rical evide*ce and theoreti*a* *e*s**ing, that util*zing the </line>

<line> dividend *AG* as a s*lection *riterion *or asse*s enables the capture of returns. Resul** were </line>

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<line> measured b* Sharpe ratio, alpha of </line>

<line> the *a*a and Fre*ch three-f*c*o* model, </line>

<line> and excess </line>

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<line> returns obta*ned in re*a*ion to the market\s in*ex. Stat*s*ical tests were applied t* ver*fy the </line>

<line> sign*fi*ance of the *esults. Thi* paper s*o*s t**t th* d*v**end com*oun* a**ual *row*h *ate </line>

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<line> (C*GR) is *ot a releva*t **lectio* crite*ion </line>

<line> of B**z*lian real e*tate investment trusts (B*- </line>

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<line> REITs) to form winner portfolios. It *as shown that strategies ar*und </line>

<line> the momentum effect </line>

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<line> that buy B*-REITs *hat had greater CAGR i* previous *ont*s do no* t*nd to *ave superior </line>

<line> performa**e to *he market. C*nsidering th* relatively scant attention directed **wards BR- </line>

<line> REITs wit*in the existing lite*ature, *his paper assumes *mportance in the context of fi*ling a </line>

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<line> v*id w*thin the field of finan*e. It con*ributes kn*wledge per*aini*g to </line>

<line> a* asset *lass </line>

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<line> characterized by *ts distinctive dyn*mi*s and specifi*ities. To the best of o*r knowledge, *here </line>

<line> exists no *rior study wit*in the national lit**ature that de*ves into the u*ilization of this </line>

<line> mom*n*um str*t*gy for BR-REITs. Consid*ring the g*owing BR-REITs mar*et e*p**sion, </line>

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<line> this paper *as the </line>

<line> *otential *o influ*nce numerous institut*on*l *nd i*dividual </line>

<line> *nvestors by </line>

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<line> prov*di*g a so*id scientif*c f*unda*ion to en*an*e their investm**t decisi**s. </line>

<line> Keywords: Rea* E*tate Inves*men* Tr**t. BR-REIT. Momentu* S*rategy. Dividend CAGR. </line>

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<line> Este estu*o busca intro*uzir um c*itério de s*le*ão </line>

<line> a*licáv*l às </line>

<line> estratég*as de </line>

<line> c*iação </line>

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<line> portfólio. *ropo*os, *poi*dos em evidê*cias em*íric*s * raciocínio *e*ri*o, *ue a u*ilização </line>

<line> *o CAGR de d*vidend*s como cri*ério de seleção de ativ*s possibil*ta a capt*ra de retornos. </line>

<line> Os resul**dos foram me*idos pel* índice de Sharpe, alfa do modelo de tr*s fatores d* Fama e </line>

<line> **en*h, e os retornos *xceden*** obtid*s em rela*ão ao índice de mer*ado. T*s*es esta*í*ti*os </line>

<line> f*ram a*l*cados para verificar a signific*ncia estatíst**a dos resultados. *ste artigo m*str* que </line>

<line> a t**a *e crescime*to anual c*mposta de divid*nd*s (CAGR) não é um critério de s*leç*o </line>

<line> relev*nte dos fund*s de invest**ento im*biliári* brasi*eiros (BR-REITs) para formar cart*iras </line>

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<line> v**cedoras. Foi *ostra*o </line>

<line> *** e*t*atég*a* em tor*o do efeito m*men*um **e </line>

<line> compram B*- </line>

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<line> REITs que tiveram maior CAGR no* me*es *nteriores não tendem a ter de*empenho sup*rior </line>

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<line> ao mercado. Consi*e*an*o a e*cassa aten*ão </line>

<line> *ire*i**ada aos BR-REIT* n* literatura </line>

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<line> existen*e, este artigo assume *mp*r*ância n* con*exto de pr**nc*e* uma lacuna *o *ampo das </line>

<line> finanças. *ont***** com con*ecimentos pertencent*s a uma classe de ativos caracterizada **r </line>

<line> suas dinâ**c*s e espe*ificida*es *ist*n**s. Até o*d* sabemo*, *ão existe n*nhum estudo </line>

<line> prévio na *iteratura **ci*n*l qu* aprofunde a utili*ação dess* estr*tégia momen**m para BR- </line>

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<line> REI*s. Considera*do crescen*e ex*an*ã* a </line>

<line> d* mercado de BR-RE**s, *ste artigo tem </line>

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<line> p**encial *e inf*uen*iar inú*eros **v*stidores i**tituc**nais e individuais, f*rnecen*o u*a </line>

<line> base cie*tífica sólida p*ra aprimor*r suas decis*e* de *nve*timento. </line>

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<line> *alav*as-Chave: Fund* *e **vestim*nto Imobiliário. B*-REIT. E*tra*égia </line>

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<line> Rev. FSA, Teresina, v. *2, n. 2, *rt. 2, p. 25-45, fev. 2*2* </line>

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<line> Div**end C**r as an As*e* Se*e*tion Criterion in Mo*entum Strategie* *f *razi*ia* Rei*s </line>

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<line> 1 INTRODUCT*ON </line>

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<line> *ra*ilian *eal ***ate Inve*tment Fund* (BR-R*ITs) represent the fastest-growing </line>

<line> financial a*set c*ass in Brazil over the past de*ade. According to the D*cember 2022 Monthly </line>

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<line> R*port iss*ed by B3, the number </line>

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<line> De*ember 20*2 to *e*rly m*llion in Decembe* 2 </line>

<line> 2022, marking </line>

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<line> nearl* 2*00% in th* last decade. In te*ms *f ne* as*et va*ue, *arket capitalization, </line>

<line> trading </line>

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<line> v*lum*, *n* public offerin*s, *e observe **e same </line>

<line> exponenti*l growth rat*s. Today, </line>

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<line> ind**try in t*e c*u*try i* valued *t a*p*oximat*ly 200 billion Bra*ilian R**is, </line>

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<line> *emon*trated, it c*n*inues to *row year af*er year. </line>

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<line> Th* il*ustrated *rowth sh*ws no *i*n* of slowi*g down; on th* cont*ary, the potential </line>

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<line> of this indu*try in Brazi* re*ain* imm*nse, and th* marke* has o*ly just begun </line>

<line> to develop. </line>

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<line> becom*s *ven more appa*ent when we look a* the RE** mark*t in the United S*ate*, </line>

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<line> which **s been </line>

<line> evolving si*ce t*e </line>

<line> 1960s **d currently *oasts a mar*et value of </line>

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<line> app*o*imately 1.3 t*ill*o* *ollars. </line>

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<line> I* is worth noting th*t </line>

<line> this shar* grow*h i* the *razilian REI* mar**t ha* been </line>

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<line> accompani*d </line>

<line> the *volu*ion of *h* *egulatory framework, </line>

<line> with various changes *nd </line>

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<line> improv*ments si*ce it* inceptio*. H*wev*r, while we *bserve * re*ulat**'s in*erest in the </line>

<line> *ubje*t, t** same c*n*ot be said *or *cademia, as very few works have been published ** t*is </line>

<line> topic i* B*azil. </line>

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<line> *his study aims to co*laborate wit* rece*t *ese**c* about the BR-REI* *ar*et to </line>

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<line> redu** t*e g*p *n academ*c st*d*es r*gard*ng the </line>

<line> di*fusio* of this market in the c*ntext of </line>

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<line> indiv*dual </line>

<line> and *nstitutiona* Brazilia* investo*s. The pr**ary contributi*n of *his work is *o </line>

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<line> test whether th* dividend Co*pound **nual Growth Rate (CAGR) paid is a significant value </line>

<line> indic**or an* can *red*ct which funds will outperfo*m the i*dex in future years. </line>

<line> The success of BR-*EIT* ca* be a*tri*uted to s*veral factors. Hi**oric***y, due to * </line>

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<line> macroeconom** tr*nd </line>

<line> uncont*olled infla*ion </line>

<line> in the count*y, we have inheri*ed from our </line>

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<line> the belief *hat real e*tat* investment *s a safe har*or in the face of </line>

<line> *umerous </line>

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<line> *con*mic crises and curre*cy fluc*ua**on*, ensuri*g i*come. Investm*nt i* physical real esta** </line>

<line> has created many mil*io*aires and has allowed ma*y indi*iduals t* li*e off rental in*om* in </line>

<line> the country, even in the not-so-d*stant *ast. </line>

<line> *t*rtin* *n the 1*7*s, w*th the begin**ng of the development *f t*e capital market in </line>

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<line> th* c*untry and the subsequ**t *v*lution </line>

<line> ex*hanges, a new cu*tu*e of savi*gs </line>

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<line> allocat*on in *isted assets began to emerge in its early stages. </line>

<line> Rev. FSA, *er*sina *I, v. 22, n. *, a*t. 2, p. 25-45, *ev. *025 www4.fsanet.co*.br/revi**a </line>

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<line> R. P. Souza, R M. Roqu*t*, A. L. C. Si*va </line>

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<line> However, *t was only i* 1993, w*th the en*ctment of Law 8668/*3, th*t *ra*il </line>

<line> establis*e* the nece*sary regulatory brid*e between real estate in*es*men* an* the stock </line>

<line> e*change. Se*eral *ears were required fo* the *arket to evolve and *ea*h the leve* of *aturity </line>

<line> and traction that *e are c*rrently experiencing. The first st*ge of developm*n* fo* this market </line>

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<line> 20*8, the year in wh*ch th* *r**ilian Securities </line>

<line> and Excha*ge </line>

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<line> Commission (C*M) finally regulated this asset *la*s with In*truction No. 472. From this </line>

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<line> milest*ne, the n*mbe* of inve**ors *nd the nu*b*r of lis*ed *R-RE*Ts </line>

<line> began to *xperie*c* </line>

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<line> Since them, B*-REITs have </line>

<line> best alternative </line>

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<line> seek*ng expos*re to the *o*al real estate market because: (i) i* el*m*nat*s all the bureau*ratic </line>

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<line> fricti*ns *f *uy*ng a*d se**in* real esta*e; (ii) *t </line>

<line> requires a much sm*ller initial investmen* </line>

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<line> *ompared t* direct proper*y pu***ases; (iii) *t a*lows for greater di*ersifi*ation in te*ms o* the </line>

<line> *ua*tity an* type* of real estate ass*ts, reducing vacancy *isks; (iv) *t prov*des greater </line>

<line> liquidit* for buying and selling; (v) it ad*eres to ma*datory income dis*ribution rul*s, ma*ing </line>

<line> *t an *xcellent i**ome generator; *nd (vi) it benefits from pr*fessional **nag*ment of r*al </line>

<line> estate a*se*s. </line>

<line> In add*tion to *he advantages liste* above, there are *lso in*o** ta* exe*ptio* *ules </line>

<line> on earnings *hat **ply to most individual investors, whi*h do not exist when r*ceiving ren*al </line>

<line> income f*om direct pro*e*ty invest*ents. **cause *f *ll the*e factors, BR-REITs are ga*n*n* </line>

<line> ***reas*ng popularity in th* portfo*io* of Brazilian inves*ors, e*p*cially among individual </line>

<line> *nv*stors. </line>

<line> Wi*h s**h su*cess among individual i*vest*r*, this market segment i* compr*sed o* a </line>

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<line> significa*t*y l**ger n*mbe* and trading volume of individual inve*tors *ompared to </line>

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<line> Brazi*ian stock mark**. Ac*ording to the D*cember 2022 Mon*hly Report issued by B3, </line>

<line> indi*idua* *nvestors hold custody of app*o*ima*ely 74% *f this market and are res*onsible f*r </line>

<line> 67.7% of the trading **lume. Furth*rmore, out of the nearly 2 million regi*tered investors in </line>

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<line> are individual *nvestors. This distinc*ive ch*racteristic </line>

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<line> *neffici*ncies in the market, creating opportunities for g*in* through momentum stra*eg*es, as </line>

<line> demonstrated in the art**le by Ba****o *nd Cam*a*i (20*3). </line>

<line> Between 201* *nd 2022, BR-*EITs we*e ranke* ba*ed on their hig*est annual </line>

<line> dividend CAG*s for t*o, t*ree, and five year *eriods. F*o* these *ankings, portfo*ios were </line>

<line> constructed with varying si*es (nu*ber o* asset*) and *olding peri*ds (rebal*nc*ng intervals </line>

<line> accord*ng to the ranking). All port*oli** exhibited p*rfo*manc* be*o* t*e ma*k*t in terms of </line>

<line> e*cess returns **nerat*d, an* *nly a few str*tegies yi*lded positive a*phas wi*h no st*tistical </line>

<line> Rev. FSA, Teresina, v. *2, *. *, art. 2, p. 25-4*, fev. 20*5 www4.fs*net.c*m.*r/revista </line>

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<line> Dividend Cagr as an *ss** *election Criterion *n Momentum Strategi*s *f Brazil*an Reit* </line>

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<line> sig*i**ca*ce. Conse*uently, *he results su*gest ***sisten* evidence that hist*rical di*idend </line>

<line> CAGR is no* a reli*b** criterion for se*ectin* B*-REITs. </line>

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<line> To the bes* of our k*owledge, t*e use of dividend C*GR as selection criterion f*r a </line>

<line> constructing a portfoli* of BR-REITs is a c*mplete*y innov*tiv* approach in th* lite*a*ure. </line>

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<line> The m*tivation </line>

<line> behind this *p*roach w*s the *nd*rstanding that, d*e to the requiremen* to </line>

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<line> dis*ribute 9*% </line>

<line> of *he fund's cash profit se*i-annual*y, the *o*sistent *rowth *f di*idends, </line>

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<line> even during cha*l*ng*ng macroe*onom*c peri*ds, could serve as a good pr*xy *or the quali*y </line>

<line> *f BR-R*IT\s man*ge*ent. *e considered this f*ctor to be importa*t in predictin* the future </line>

<line> value *eneration of t*e *ssets. </line>

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<line> This arti*le is divide* int* four addit*onal **apters in addition </line>

<line> to thi* introduct*ry </line>

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<line> cha**er. In *hapter 2, we wil* conduct an ext*nsive literature review on momen*um strategies </line>

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<line> i* Brazil and abroad, </line>

<line> as well as on Real Estate Inv**tme** Funds (REITs) in Brazil </line>

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<line> a**oad. C*apter 3 will describe the article's research methodology. </line>

<line> In Chapter *, we *i*l </line>

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<line> pr*sent and discu*s *he main re*ult*, and finally, in Chapter 5, we will pr*vide the key </line>

<line> conclusions. </line>

<line> 2 LIT*RATUR* R*V*EW </line>

<line> One of th* mo*t widely recognize* strategies ** the fina*c*al market i* the m**entum </line>

<line> strategy, whic* p*sits that the future retu*ns o* a stock traded on the stock *xcha*ge can b* </line>

<line> explai*ed by the past performance of that same asset. This strategy has its ini*ial landmark in </line>

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<line> the *rticle *y J*gadee*h </line>

<line> **d T*tma* (1993), where the authors, analyzing *he U.S. *arket </line>

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<line> generate si*nif*c*nt*y pos**iv* returns by bu*ing </line>

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<line> p**tfolio* with ass*ts *hat ha* positive past returns (*i**ing portfolios) a*d se*ling portf*lios </line>

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<line> with assets </line>

<line> past returns (losing p*rtfolios). *n </line>

<line> addition *o this </line>

<line> important </line>

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<line> discovery, the* also *ound e*ide*ce that such p**tfolios *orm*d based on past *eturn criteria </line>

<line> *ended to have *heir ge*erated a**ha revers*d after 12 months. Thi* indi*at*s *hat t*is *trategy </line>

<line> works bet*er in a s**rt-te*m appro**h, as over time, th* ma*ket *ou*d ret*rn t* see*ing </line>

<line> ratio*ali*y, contradicti*g th* Efficient Mar*et *ypothesis of Fa*a (1970). </line>

<line> The *uthors go on t* p*opose some exp*anations for this b*havio*, introducing th* </line>

<line> concepts of underre**tion an* over**action tha* coul* acc*unt fo* this short-*erm *rra*ionality, </line>

<line> leading to *h* pos*ibi**ty of *et*rns *hat do not a*ign *ith ri**. </line>

<line> Subse*uently, othe* autho*s del*e* *nto the concept o* **derr*action, su** as Lo and </line>

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<line> Ma*Kinlay (1988), Poterb* and Su*me*s (*988), Jeg*d**sh himsel* </line>

<line> (1990), and B*rberis, </line>

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<line> Rev. *SA, Teresina PI, v. 22, n. 2, art. 2, p. 25-*5, fev. 2*25 </line>

<line> www4.fs**et.com.*r/r*vista </line>

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<line> R. P. Souza, R M. Ro*uete, *. L. C. Si*va </line>

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<line> Shleife*, an* Vishny (1998), arriv*ng at the definiti** that it could be an e*otional *espon*e </line>

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<line> by inves*ors that </line>

<line> preven*s them from full* *ncorporating *nfor*a**on i*t* a**et p*ice* </line>

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<line> **mediately. One </line>

<line> explanation for t**s phenomenon co*ld be the exis*ence of </line>

</par>

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<line> c*nserva*ism bias amo*g investors, which would c*eate resista**e to changing their bel*efs in </line>

<line> On the *ther hand, the phenom*non of overreaction, whe* studied by De Bo*dt a*d </line>

</par>

<par>

<line> Thale* (1985), De Bondt an* T**ler (1987), and *arberis, Shleifer, </line>

<line> and *ishny (1998), was </line>

</par>

<par>

<line> characterized as an emotional res*o*se leading to an </line>

<line> *xaggerated s**l*ng *f ass**s. As </line>

</par>

<par>

<line> explanation fo* th*s behavior, we have the repr*sent*tiveness bi*s, which *a*ses investors to </line>

<line> extrapolate *ho*t-term inform*ti*n *nto the pe*petuity of th* *sset. </line>

</par>

<par>

<line> I* *t*er studies, al*ernative </line>

<line> explanations h*v* bee* found **r these behaviors. </line>

</par>

<par>

<line> and Stei* (199*) disco*ered *hat th* *p*ed of information dissemination amon* i*vestors, </line>

</par>

<par>

<line> w*ich th*y *onsider*d *o be low at *he time, is on* of the exp*anations *or </line>

<line> the returns of </line>

</par>

<par>

<line> mome*tum ****tegies. </line>

</par>

<par>

<line> I* their turn, Da*iel, *ir*hleifer, and Subrahma*yam (19**) demonstrate that it's not </line>

<line> und*rreaction causing momen**m and ov*rreact**n *a*sing reversa*. Instead, *verre*c*io* i* </line>

<line> what cau**s momentum due t* in*estor ov*rconfidence. Moreover, overr*act*on can *e*si*t if </line>

<line> future infor*a*ion confir*s and reinfor**s inves*or belie**. </line>

<line> *verall, under*e**tio* *ccu*s when market par*ic*pants do not *ully adjust to *ew </line>

<line> information in a timely **nner, ca*s*ng s*oc* prices to move gradually rat*er than instantly </line>

<line> reflecting al* a*ailable i*formation. *verreaction, o* the other ha**, suggests that m*rket </line>

</par>

<par>

<line> participan*s m*ght o*erreact to </line>

<line> news or events, caus*n* prices to overshoot their </line>

<line> true value </line>

</par>

<par>

<line> t*mpora*ily. These conc*p** of underreact*on *nd ove**e*ction can *elp expl*in the obse*ved </line>

<line> sho**-ter* a*omalies in st*ck r*tu*ns and provide a bas** for understandin* why momentum </line>

<line> str*tegies can be *rofita*le *n the short r*n, as m*rket participan*s m*y not fully incorporate </line>

<line> all a*ailabl* information into stock prices. </line>

</par>

<par>

<line> In the Brazili*n a*ad*mic literature, studies on the momentum </line>

</par>

<par>

<line> pred*minant** limited to the stock marke*. In*tially, Campan* a*d Lea* (20*6) propose* </line>

</par>

<par>

<line> equa*ly weighted p*r*folio mod** to de*elop two </line>

<line> st*ck indices *u*seque*tly *amed the </line>

</par>

<par>

<line> "Valor-Co*pead Indic*s." One of thes* ind*ces is </line>

<line> based on a momentum strategy using </line>

</par>

<par>

<line> *sra*lsen's (2005) adjusted SR (Sharpe Ratio), aiming t* generate *a*imum ret*r*s with </line>

<line> vo*atility equa* to that of t** market i*d*x. </line>

<line> Sub*equently, Car*eiro and Leal (*017) exam*ned the effects of momentum *trategies </line>

<line> using p*st m*tr*cs such as Sharpe Rat*o (SR), div*de*d y*el* (DY), and liquidity as stock </line>

<line> Rev. *S*, Te*esina, v. 2*, n. 2, art. 2, p. 25-45, fev. 2025 w*w4.f*ane*.c*m.br/revista </line>

</par>

</page>

<page>

<par>

<line> D*vi*end Cagr *s an Ass** Selecti*n *riterion in *omentum Strategies o* *razilian Re*ts </line>

</par>

<par>

<line> selectio* crite*ia i* the Brazilian market betw*e* 2003 a*d 20*2. They demonst*ate* </line>

</par>

<par>

<line> various *trate**es c*n ** *mplo*ed t* a*hiev* returns due to mom*ntum e*fects. Following </line>

<line> this, Mendonça, Campani, and L*al (20*7) s*udied the use of *R and Je*sen's al*ha a* cr*teria </line>

<line> for selecting *tock i*vestment funds in Brazil from 2004 to 20*4. </line>

</par>

<par>

<line> Lastly, Civiletti, Campani, and *oque** (2020) </line>

<line> conducted studies that fo*nd </line>

</par>

<par>

<line> satisfactory returns </line>

<line> in the Brazilian stock mar*et </line>

<line> using momen*um </line>

</par>

<par>

<line> *nd 2018, p*oviding e*idence that momentum effects also exist in the Brazilian *tock market. </line>

<line> R**ardi*g the BR-REITs, t*ere are very few academic works in *his ar**. However, </line>

<line> wh*n we l*ok at t** acad*mic literature on U.*. Real Estate I*vestment Trusts (REITs), </line>

<line> which c** *e considere* *he corresponding asset cl*s* to BR-R*ITS in U.S. *ar*et (although </line>

</par>

<par>

<line> there are re*ulatory differences that bring </line>

<line> s*me partic*lari**es, making them n*t exactly the </line>

</par>

<par>

<line> same), we find a subst*ntial amou*t of literature on t*e subject. </line>

<line> In int*rn**ional literat*re, many studies corre*ate be*avio*al bia*es with the returns of </line>

<line> RE*T*, generating various m*mentum and reversal strategi*s. C*ui, Titman, an* Wei (200*) </line>

<line> discovered, after an*ly**ng data fr*m t*e U.S. market *etwee* 1982 and 1999, that short-te*m </line>

<line> *ov*ments *n R*ITs cannot b* explained by risk **cto*s. *hey propos* an e*planation b*sed </line>

<line> on the theory deve*ope* by Daniel, Hir*hleif*r, *nd Subrahmanyam (1998). *hey *elieve that, </line>

<line> starting in 1992, d*e to c*an*es in the *egulatory f*amework of REI*s, t*e va*uation of t*is </line>

<line> *s*et cl*ss became more complex, leadi*g i*ves*ors t* a*t with o*erconfiden*e. When the* </line>

<line> applied *h* Jegadeesh **d Titman (1993) s*rategy to REITs, the* obtained e*ces* *eturns </line>

</par>

<par>

<line> almost twice as hi*h </line>

<line> in th* *tock mark*t, *em*nstrat*n* tha* momentum strat*gies have </line>

</par>

<par>

<line> much more strength in the REI* mar*et. </line>

<line> Hung and Glascock (20**) *xam*ned t*e dividend yiel* (D*) as * factor in a </line>

<line> momentum strategy in the U.S. market *e*ween 1972 and 2000. They demo*strated tha* DY </line>

</par>

<par>

<line> is *igh*r among funds with higher *ecent *etur*s, leadin* to </line>

<line> the *onclusion *hat **ment*m </line>

</par>

<par>

<line> can be *x*la*n*d by th* inhe*ent r*sk of DY variation. </line>

</par>

<par>

<line> Furt**rmore, *e *an find more r*cent stu*ies associa*ing moment*m strategies with </line>

<line> the retu*ns of RE*Ts, s*ch as Bro*, Ghosh, *nd *etrova (20*7), who found evid*nce of </line>

</par>

<par>

<line> momentum in Eur*pean *nd UK RE*Ts by analyzing *eturns </line>

<line> between </line>

</par>

<par>

<line> Addi**onal*y, By*n, Lim, and Yun (2016) **d Liu and Lu (2019) suggest that ut*lizin* </line>

</par>

<par>

<line> *ontinuing </line>

<line> overreactio* *trategy can g*nerate significant positive </line>

<line> returns in th* U.S. REIT </line>

</par>

<par>

</par>

<par>

<line> In the Brazil*an **terature, initia*ly, we find arti*l*s b* Ca**do, *iott* & Sec*rat* </line>

<line> (2002) an* Amat*, *akaoda, Li*a & *ec*rato (2005). Thes* ar*icl*s primarily p*ovide basic </line>

<line> Rev. FSA, Teres*na PI, v. 22, n. 2, a*t. 2, p. 25-*5, fev. 2025 ww*4.*sanet.c*m.br/revista </line>

</par>

</page>

<page>

<par>

<line> R. P. Sou*a, * M. Roquete, A. L. C. Silva </line>

</par>

<par>

<line> s*udies o* the chara*teristic* of BR-**ITs, *he *red*m**ant investment se*tors, the number </line>

<line> of *nvestors, all *uring a *eriod when **e market was taking its fir*t ste*s in d*velop*ent. </line>

<line> D*e to the predominan*e *f individual **vestors bo*h i* trading volu*e an* t*tal **set </line>

<line> cu*tody, as previously mentioned, th*s is a market e*posed *o * h*gher risk of ine*fic**nc*es </line>

<line> due to the lower level of sophi*tication among i*s players. Addit**nally, *t is a market *ti*l in </line>

<line> the growth *nd ma*uratio* phase, as previou*ly *ighlighted. </line>

<line> Al*houg* *her* is clear *vidence t*at th* *R-RE*Ts market is exp*sed to these </line>

</par>

<par>

<line> in**ficiencie*, few have taken an </line>

<line> interest in s*udyin* th* topi*. Guimarães (*013), *sing </line>

</par>

<par>

<line> Carhar*'s (1997) </line>

<line> four-f*ctor model on a sma*l group o* BR-REI*s i* *he Brazilian mar*et </line>

</par>

<par>

<line> **twee* 2008 and 2012, d**onstrated a p*rformance </line>

<line> trend, obse*ving p*rsisten*e of past a </line>

</par>

<par>

<line> re*urns into *he future </line>

<line> (*omentum). Mor* rece*tl*, Barr*to and C*mpa** (202*), a*al*zing </line>

</par>

<par>

<line> the B*azi*ian market be*ween 2012 and 2020, found that the variati*n in d*vidend yield (DY) </line>

<line> is a factor tha* can ** *sed very succ*ssfully in a momentum strategy, generating excellent </line>

<line> retur*s above the m*rket. </line>

<line> *redo*i*an*ly, in the Brazi*ian academ*c lite**ture, w* find m*re ar*icles on the BR- </line>

<line> REITs marke* that *tudy ris* *actors that can expla*n the*r returns. F*r e*ample, Dias (2019) </line>

<line> point* out that the r*tur*s of B*-REITs market inde* (I*IX) and Brazilian stoc* mark*t index </line>

<line> (IBOV) *ave low covar**nce when analyzed by the be** of C*PM models. O*ive*ra and </line>

<line> Mi*ani (2020) de*onstrate that *h* return *f I*OV, among other *ari*bl*s *tu*ied, is the o*e </line>

</par>

<par>

<line> bes* ex*lai*s the r*tu*n *f IFIX. Lastly, Nascimento, Scaramussa, *nd **rto*o* </line>

</par>

<par>

<line> evaluated B*-REITs ret*rns fro* the perspective of regulatory, tax, and manag*ment aspects. </line>

<line> In an a*tempt to compleme*t the effor*s *f th*s *ecent national **ter*tu*e, th* next </line>

</par>

<par>

<line> section *ill *resent **e metho**l*gy used </line>

<line> to study the momentum strategy in BR-REITs </line>

</par>

<par>

<line> usi** dividend C*GR. Su*sequen*ly, the results *ill be pre*en*ed i* *ection </line>

</par>

<par>

<line> co**lusions in section 5. Section * will provide the r*ference literature. </line>

</par>

<par>

<line> * MET*O*OLOGY </line>

</par>

<par>

</par>

<par>

<line> The present article will a**l*ze the *onth-**-month res*lts o* all Brazilian R*** </line>

<line> Es*ate Inv*st*ent Fu*ds (BR-REITs) tha* are e**gible wi*hin the criter*a ex**ain*d *elo*, </line>

<line> from January 2018 to December 202*. </line>

<line> Rev. *SA, *er*sina, v. 2*, *. 2, **t. *, p. 25-45, fev. 2025 ww*4.fsanet.com.br/re*i*** </line>

</par>

</page>

<page>

<par>

<line> D*v*dend Ca*r as an A*set Selection Crit*rion in Momen*um *trategies of Brazilian Reits </line>

</par>

<par>

<line> *he initial idea of th*s study was to us* a *im* frame of ten y*ars. The choice of s*ch </line>

<line> an extens*ve tim* frame wou** be explained b* t*e len*th o* the Brazil**n *eal estate m*rket </line>

</par>

<par>

<line> cycle, *hic* l*st* approxim**ely 8 to *0 </line>

<line> years, a*co*ding to sourc*s such as *he B*azi*ian </line>

</par>

<par>

<line> Asso*iation of Real Estate Dev*lopers (ABR*INC) and the Fe*er*tion of *ndustries of t*e </line>

<line> Stat* of São *au*o (F*ESP). Ad*itional**, by using * significan*ly long period, we would </line>

<line> e*po*e BR-REIT* manag*rs to a *ide *ange of ma*roe*onomic sce*ari*s, add*n* rob*s**es* </line>

<line> to th* s**dy. H*wever, whe* *na*yzing the Compound A*n*al Growt* *ates (C*GRs) wi** </line>

</par>

<par>

<line> the filters </line>

<line> applied *or the peri*ds between *anuary 2013 and *ece**er 2017, </line>

<line> the sample of </line>

</par>

<par>

<line> approved funds *n </line>

<line> t** research filte*s beca*e too sma*l, </line>

<line> forming po*tfolios with fewer than </line>

</par>

<par>

<line> t**e* assets. Fo* this reason, w* chose to cut th* analy*is from January </line>

<line> *nwards, </line>

</par>

<par>

<line> p*rio* in which market liquidi*y, th* numb*r of asse*s lis*ed o* the s*ock exchange, and *he </line>

<line> number of in*esto*s experience* m*re s*gnificant gr*wt*. </line>

<line> The funds that c*mpris** t** total universe sam*le for this study w*re th* ones </line>

</par>

<par>

<line> *ategorized by the Quan*um Ax*s platform as intended *or general inves*o*s, resultin* in </line>

</par>

<par>

<line> *otal o* 283 *unds ove* the entir* analysis period. T*e number of funds analyz*d eac* month </line>

<line> varied due *o various factors, su*h as the laun*h *f new fu*ds, th* termina*ion of *ld funds, or </line>

<line> ev*n opera*ional is*ues that led to non-*ivid*nd dis*ributions. </line>

<line> Based *n the asset sel**tion criteria pro*osed below, monthly div*dend *aym*nt data </line>

<line> was extracted from the Quantum Axis platform, leading to th* total d*vidend p*i* over the last </line>

<line> twelve mon*hs, *hereby *limina*ing an* i*sues re**ted to divide*d distrib*t*on seaso*ality. As </line>

<line> previ*usly mentioned, due to r**ul*to*y requirement*, *R-REITs are obl*gated t* dis*ribute * </line>

</par>

<par>

<line> minimum of 95% of the semi-a*nua* cash </line>

<line> *r*fit, l*a*in* little room for *anagers to make </line>

</par>

<par>

<line> discreti**ar* distribu*ions. </line>

</par>

<par>

<line> F*om t*e universe sam*le, fun*s with c*nst*tuti*n dates late* th*n the </line>

</par>

<par>

<line> peri*d used in *he CAG* cal*ulation, </line>

<line> s*own *n the *q*ation1 below, and funds that </line>

</par>

<par>

<line> *ot distributed divid*nd f*r any reason du*ing the denominator perio* of *he CAGR </line>

<line> calculation w*re excluded. </line>

<line> By usin* the filters menti*n*d above and th* an*ual dividend *ai*, we are assumi*g </line>

<line> *ha* we a*e **im*nating *ny sp*rious effects from the analys*s. </line>

<line> T* exclude f*nd* with low liquidity ***t **y dis*o*t compa*is*ns wit* thei* peers, for </line>

</par>

<par>

<line> eac* *ef*re**e m*nth, only the f*nds t*at *et the *ollowing criteria w*re consid*red: </line>

</par>

<par>

<line> presence *n 100% of the tradin* days of t*e an*lys*s month, i.e. at least one negotiation in a*l </line>

</par>

<par>

<line> of the trading </line>

<line> days in the refer*nce m*n*h. This liqui*ity cri*erion *as se*ected to be **en </line>

</par>

<par>

<line> more stringent tha* the trading cr*teria fo* the composition of *he market index (IFIX), as will </line>

</par>

</page>

<page>

<par>

<line> R. P. Souza, R M. Ro*uete, A. L. C. Silv* </line>

</par>

<par>

<line> be d*tailed later in *his ar*ic*e. *he *eas** f** using this stri*ter criterion i* to ensu*e that th* </line>

<line> p**tfolios formed in this st*dy can be easily replica*le by i*di*idual investors; and (ii) an </line>

<line> average daily trading liquidit* o* over R$ 100,*00.0* (one *undre* t*ou*and Bra*ilian Reais) </line>

</par>

<par>

<line> anal*sis *onth. **is liquidi*y fil*er r*pre*ents that, with*n the smaller sampl* i* </line>

</par>

<par>

<line> entire study, ensures th*t the select*d funds w*l* *e amon* the 7*% most liquid in the s*mple. </line>

<line> **ditiona***, for return c*lcu*ations, the m*nthly adjusted ret*rn value of each fund </line>

</par>

<par>

<line> was e*tracted from Quant*m *xis, considering the mont*ly dividend pay*ent </line>

</par>

<par>

<line> r*ference month. </line>

</par>

<par>

<line> T*e monthly closing prices o* *h* B*-R*ITs market i*dex (I***) and t*e Brazil*an </line>

<line> Inte*bank D*posi* Cert*f*cat*s ra*e (CDI) were also extracted from Quan**m Axis. These data </line>

<line> were use*, *ith the former serving as a benchmark for return and volati*i*y an*lyses, and the </line>

<line> latter as the ris*-free rate fo* the B*azili*n e**nomy. </line>

<line> 3.2 *ortfoli* For*ati*n </line>

<line> 3 .2 .1 Seleo* cr*terion and for**tion period </line>

<line> The *election criterion that this ar*icle prop*ses to use in a momentum *trat*g* </line>

<line> **alysis is the divid*nd Compo*nd Annua* Growth Ra*e. T*e use of t*e div*dend CAGR is </line>

<line> bas*d on the hypothesis that *his fa*tor is a *el*va*t prox* for t*e fund'* management qual*ty. </line>

</par>

<par>

<line> Since, by *e*ulatory definitio*, *he manager is </line>

<line> obliged to distribute u* *o 95% *f the fund's </line>

</par>

<par>

<line> *as* *rofit semi-an*ually, a* *ncrease in dividend distr*b**ion is a st*ong indic*tor of succ*s* </line>

<line> in achieving increasingly positive r*sults at different point* in th* market c***e. </line>

<line> To a*hieve this, it was necessary t* calcu*ate: (i) the total dividend paid in the l*st </line>

</par>

<par>

<line> twelve months; (ii) th* total di**dend paid between th* </line>

<line> 13th and 24*h m*nths; (iii) the total </line>

</par>

<par>

<line> dividend paid betwe*n **e 15th an* 36th mo*t**; (iv) t*e total div*dend *aid between the 37th </line>

<line> and 48th *onths; (v) t*e t**al *ivide*d paid between the 49th and 60*h months; an* (*i) t*e </line>

</par>

<par>

<line> total d*vidend </line>

<line> paid be*ween t*e 6*st and 72n* m*nths, all r*l*t*ve to the re*erence month. </line>

</par>

<par>

<line> With this **for*ation, it was possible to *al*ulate the d**i*end **m*ound *nnu*l Grow*h </line>

<line> *ate (CAGR) for the last tw*-, three-, and f*ve-y*a*s using Eq*atio* 1. The highes* CAGRs </line>

<line> wer* used as the s*le*tion criterion for the winn*ng portf**ios. </line>

</par>

<par>

<line> Equation 1 *r*sents the process of ca*culatin* *he CAGR for a per*od </line>

</par>

<par>

<line> where n represents the t*tal analy*is per**d (2, 3 or 5 y*ars) and *otal *i**dend1 represent* </line>

<line> the f*rst *ear'* returns. </line>

<line> Rev. *S*, T*resina, v. 22, n. 2, art. 2, p. *5-45, fe*. *0*5 www4.fsanet.com.br/revista </line>

</par>

</page>

<page>

<par>

<line> Dividend Cagr as an Asse* Selection *rit*rion in Momentu* S*rat**ie* o* Brazi*ian Reits </line>

</par>

<par>

</par>

<par>

<line> Size, weig*ts and strategy of the portfoli*s </line>

</par>

<par>

<line> The n*xt step in *o**o*in* t*e *inning portfolios (long **ly) f*r this *tudy's an*lysis </line>

<line> invo*ved mon*hly ra*king the BR-REI*s within the universe sam*le over t*e spec*fied time </line>

<line> frame ba*ed on the best *o wors* d*viden* CAG** *f two years, thr*e years, and f*ve years. </line>

</par>

<par>

<line> of the rankings *escribe* above, th*ee portfolios wer* formed with the followi*g </line>

</par>

<par>

<line> as*et compositi*n: the *op-ranked *un*s f*om *he ranking present in the 10%, *0%, and 30% </line>

<line> *ercentile* of the to*al funds in t*e sample spa*e for the reference mon*h, totaling nine </line>

<line> Each a*set will make *p its p*rtfo*io with equ** weigh*s, which, acc*rding to *en**tzi </line>

</par>

<par>

<line> and *haler (20*1), is an </line>

<line> exc*llent weightin* *trategy for unsophi**icated investors. </line>

</par>

<par>

<line> Furthermore, b* usin* portfo*ios with *qual we*gh**, we aim *o eliminate f*o* th* an**ysis </line>

<line> any alpha genera*ed *y more so*histica*ed weight*ng techni*ues, analyzing the effects of the </line>

<line> momentum *trategy ** the purest possib*e w*y. </line>

<line> Usually, t*e analys*s of mom*ntum *trategies invo*ves **ying * win*in* port**lio and </line>

<line> selling a losi** portfolio, creating lo*g, short, lo*g-sho**, and l*ng-bias** por*folios. </line>

<line> However, in this stu**, losing portfoli*s wi*l no* be c*eated due to the fact that the BR-REIT* </line>

<line> regulatio* *nly recentl* allow** sh*rt ***ling of thi* ass*t class, and to this d*y, *he liquidity </line>

<line> for bor**win* BR-RE**s is ve*y low. Th*r*fore, it would not be possibl* *o ac*urately </line>

<line> determine the costs of imp**me*ti*g this *hort *e*li** strategy. </line>

</par>

<par>

<line> *s mention*d *arlie*, mome*tum theory sug**sts </line>

<line> that t*e generate* returns ar* </line>

</par>

<par>

<line> consequence* of mark*t inefficienc*es, *hic*, in turn, are generated b* some cognit**e biases </line>

<line> in mar***s where individual *nvestor*, who are less so**isticate*, h*v* a *ignifi*a*t prese*c*. </line>

</par>

<par>

<line> Due to *hese *haracteristics, s*ch i**ffici*ncies tend to *issipate over time, making </line>

</par>

<par>

<line> *omentum strategy more e*fe*tive for short-term r*balanci**. </line>

</par>

<par>

<line> Rev. F**, Teresina PI, v. *2, n. 2, art. 2, p. *5-45, *ev. 2025 *ww4.fsanet.co*.br/r*vist* </line>

</par>

</page>

<page>

<par>

</par>

<par>

<row> To test *his property of momentum str*teg*es, th* nine wi*ning portfolio* describe* </row>

<row> above *ill also be *nalyzed fr** th* p*rspe*tive of th*e* dif*eren* rebalan*i*g stra*egi*s: (i) </row>

<row> quarterly; (ii) semi-an*ually; (ii*) annually, resultin* in a total *f *wenty seven diff**ent </row>

<row> *ort*olios. </row>

</column>

<par>

<line> Pe*for*ance e*aluation </line>

<line> To asse*s the risk of the portfolios for*ed based on the sel*ction criteria explained </line>

</par>

<row> above, the Sharpe Ratio (*R) was *sed. To e*aluate the re*ur* of the strategies, e*cess r*turn, </row>

<row> and the alpha of th* *hree-*actor model, rep*esenting risk-*d*usted r*turns, were calcul*ted. </row>

<row> *oth the SR results *nd the a*pha of the three-factor model gener*ted by each of *** twenty </row>

<row> se*en p*rtfolios we*e compared with the r*s**ts of th* marke* *ndex (IFI*) in terms o* both </row>

<row> **tur* generati*n a** volatility. </row>

</column>

</par>

<par>

<line> Sharp* rati* (SR) </line>

<line> The Sharpe Ratio wi*l be calc*lated f*r ea*h portfolio accordi** to *quation 2 below. </line>

</par>

<par>

<line> It will be obtained by considering the differenc* between the ar*thmetic mean of the mon*hly </line>

</par>

<par>

<line> return *f the portfolio *nd t*e a*ithmetic me*n of the monthly return </line>

</par>

<par>

<line> div*ded by the standard deviation of th* *ortfolio. </line>

</par>

<par>

<line> 3.3.2 **ree-**ct*r model\* alpha </line>

</par>

<par>

<line> The Jansen\* Al*ha of **ch *ortfolio w*ll be est**ated *y ca*c*l*tin* th* inter*ep* o* </line>

<line> the li*ear regressions performed using *he least squ*res met*od. Equation *, used as a b*sis, is </line>

<line> described below. It is b*se* on the Fama-Fre*ch t*ree-*a*to* *odel, whi*h i* an extens*on of </line>

<line> th* Capital *sset Pricing *odel (CAP*), adding t* m*rket risk: (i) th* outperformanc* of </line>

<line> sma** companies *ompare* to large companies ("SMB"); and (*i) *h* outper*ormance o* high </line>

</par>

<par>

<line> book-to-market **mp*nies </line>

<line> c*mp*r*d to low book-to-ma*ke* compa**es ("HM*"). We *ill </line>

</par>

<par>

<line> use *he IFIX as th* mar**t index and the SMB *nd HML factor* calc*lat** by the Cente* for </line>

<line> Rese*r*h i* Financi*l E*o*omics a* the Univ*rsity o* São *aulo (NE*IN). </line>

<line> Rev. FSA, Teresina, v. 22, n. 2, art. 2, p. 25-*5, fe*. 2025 www4.f*anet.*om.*r/*evista </line>

</par>

</page>

<page>

<par>

<line> *i*id*nd Ca*r as an *sset Selection Criterion in Momentum Strategies of Brazil*a* Reits </line>

</par>

<par>

</par>

<par>

<line> 3.3.3 Th* BR-REIT mark*t index (I*IX) composition </line>

</par>

<par>

<line> For a better un**rstand*ng of th* results co***r*d to the *arket index, *t is im*ortant </line>

<line> to clar*fy how it i* composed. </line>

<line> In general t*rms, BR-REI*s *arket index (IFIX) is a tota* return ind*x tha* is </line>

<line> composed of all Real Es*ate I*ves*me*t Funds listed on the B3 stock exchange or o*er-the- </line>

<line> co**te* market, provided *hat th*y meet the f*llowi*g *umulative criteri*: (i) hav* at least *ne </line>

</par>

<par>

<line> the *revious three IFIX </line>

</par>

<par>

<line> po**folios; (ii) do not have a *inima* quot*tion that c**ssifies *hem *s '**nny S*ocks'; and (i*i) </line>

</par>

<par>

<line> *r* *lassi*ied </line>

<line> a**ng e*igi*le assets, which d*ring the p*evious *h*ee IFIX *ort*olios, th*t </line>

</par>

<par>

<line> *epresent 99% </line>

<line> ** the sum of *h* in*ica*ors of the Liquidity Index fo*m*la*ed </line>

</par>

<par>

<line> *escendi*g or*er. </line>

<line> The eligible a*sets are *eighted *y the market v*lue o* th* Real Estate Inve*tment </line>

</par>

<par>

<line> Fund in refe**nce. *t is worth noting that a REIT\* pa**icip*tion in </line>

<line> the index cannot e*cee* </line>

</par>

<par>

<row> *0% upon its inclusi*n or during perio*ic reviews. If t*is occurs, a*justm*nts wi** be made to </row>

<row> *ring the fund's w*igh* within th*s li**t, re**stributing the ex*ess pro*ort*onally a*ong th* </row>

<row> o*her ass*** *n the portfoli*. </row>

</column>

<par>

<line> RESULT* </line>

<line> Tabl* 1 *resent* *he des*riptive *tatistics for each of the twenty seven por*folios </line>

</par>

<row> *orm*d. F**s*ly, it is observed th*t *ll excess returns relative to the market index are generally </row>

<row> negative. *owev*r, *t *s impor**n* to outst*nd *ha* o*l* the excess *eturns associated with </row>

</column>

</par>

<par>

<line> portfolios C2(10)Q </line>

<line> and C3(3*)Q exhib*t *tatistical significan*e at the 5% and </line>

</par>

<par>

<line> *espective*y. Al* portfolios w**n men*i*ned on this paper **l* r*ceiv* the following </line>

</par>

<par>

<line> den*tatio*: C YEAR(SIZE) FO*MAT*ON PERIO*, that </line>

<line> is, *f we are ref*rring t* the </line>

</par>

<par>

<line> port*olio formed by the best 5-year d*vide*d CAGRs with s*z* *f the b*st 20% funds in the </line>

<line> *ample and reb*lanced quarterly, we will *bbr*viate to C5(20)Q an* so o*. </line>

<line> Ad*itional*y, it is notewort*y that all *al*ula*ed Sharpe *at*os (*R) for the portfolios </line>

<line> ex*ibi*ed ne*ative v*l*es, except for portfolio C3(*0)Q, which *ad * posi*i*e SR and, along </line>

<line> Re*. FSA, Teres*na PI, v. 22, n. 2, art. *, p. 25-4*, fev. 2025 www4.fsanet.*om.br/revista </line>

</par>

</page>

<page>

<par>

<line> R. *. Souza, R M. Roq*ete, A. L. C. *ilva </line>

</par>

<par>

<line> with port*olio C2(*0)Q, ou*perform*d t*e ben*hmark. This pa***cular data </line>

<line> s*ggest* </line>

</par>

<par>

<line> po*sibly only *ortfolios (C3(30)Q and *2(10)Q), *ithi* *he contex* of th*s study, </line>

</par>

<par>

<line> demonstrated a p*rfo*mance </line>

<line> tha* t*ansla*ed i*t* a m*re fav*rable risk-retur* r*lationship </line>

</par>

<par>

<line> compa*ed to t*e market index, although *hey *id not gen*rate a* excess *eturn. </line>

<line> It is *ignifica*t to obser*e that, during *he analysis period of this s*udy, the m*rk*t </line>

<line> index itsel* (IFIX) exhibite* a lower return than the Brazilian risk-free rate (*DI), with higher </line>

</par>

<par>

<line> volatility, *esulting in a negative SR *or the market </line>

<line> index. Howev*r, it is importa*t *o </line>

</par>

<par>

<line> emphasize *h** the analysis in Table * against *he risk-free rate *s *one **fore tax*s. In *razil, </line>

</par>

<par>

<line> in*ividual investors </line>

<line> *ave relative*y e*sy a**ess *o </line>

<line> fixed-inco** instr*m*nts. </line>

</par>

<par>

<line> However, th*se inst*umen*s are not so*e*ei** r*sk but cor*orate ris*, w*i*h </line>

</par>

<par>

<line> *nalys*s again*t the **sk-f*ee rate. Within ass**s *it* *overeign ri*k, i*com* *ax ** calculated </line>

</par>

<par>

<line> bas*d on descendi*g *ca*e tha* co*sid*rs the investme*t per*od. For *n*e*tm*nts over a </line>

</par>

<par>

<line> years, the lowest possible ta* rat* is 15% on the cap*tal g*in. The tax structure of Real Esta*e </line>

<line> Inve*tment Fu*ds (*EITs) in Brazil is hybri*. Th*re is income tax exem*tion for indi*iduals </line>

<line> on distributed *ividen*s *nce certain rules ar* met, includin* a *inim*m number of </line>

<line> sha*eholde** in th* BR-*EIT, manda*or* semi-*n*ual *is*ribution of 95% o* c*sh **ofit, and </line>

</par>

<par>

<line> **adi** on a stock exch*nge or ov*r-t**-counte* marke*, which *irtually </line>

<line> all funds in </line>

</par>

<par>

<line> sample comply with. Therefore, for t*e p*rpo*** of </line>

<line> thi* analysis, we will co*s**er </line>

</par>

<par>

<line> e*e*ption o* div*dends. Ad*itionally, there is a 20% ta* r*t* on *apital gai*s from buying </line>

<line> and sell**g BR- *E*Ts. Co*side*ing tha* IFIX i* a total return index, meani*g *t consi*ers t*e </line>

</par>

<par>

<line> return ge*era*ed b* cap*tal gains and *ei*ves*ment of di*idends, *e </line>

<line> c*n use a simplif*ed </line>

</par>

<par>

<line> average tax r*te of </line>

<line> 10% for ta* *omparison pu*poses. With this, we would have an average </line>

</par>

<par>

<line> monthly ret**n of 0.43% for the CDI against a* aver*ge *onthly re*urn of 0.44% for IF*X. As </line>

</par>

<par>

<line> be se*n, in the analy*is after taxes, the market ind*x offers * slig*tly higher return than </line>

</par>

<par>

</par>

<par>

</par>

</page>

<page>

<par>

<row> Divi*end C*gr as an Asset *e*e*tio* Cri*erion in Momen*um Str*tegies of B*azilian Reit* </row>

<row> Table 1 *escriptive sta*istic* *f the portfolios between </row>

<row> J**ua*y of 201* an* Decem*er of 2022 </row>

<row> Panel A: Mark*t indexes </row>

</column>

</column>

</par>

<par>

<line> Average </line>

</par>

<par>

<line> I*dexes </line>

<line> Return </line>

<line> month </line>

<line> return </line>

</par>

<par>

</par>

<par>

</par>

<par>

<line> Formation </line>

</par>

<par>

<line> return </line>

<line> return </line>

</par>

<par>

</par>

<par>

<line> years </line>

</par>

<par>

</par>

<par>

<line> years </line>

</par>

<par>

</par>

<par>

</par>

<par>

<line> Note: On panel A, the average *eturn was obtained bas*d on *he ar*thmetic me*n of th* monthly returns of th* indices. The </line>

<line> stan**rd d***ation was also calculated based on mo*thly data. The S*arpe ratio (*R) was *alculated based on *quation * for </line>

<line> IFIX si*c* the *DI is *he risk-free rate i*se*f. The m*nimum value correspo*ds to th* lowes* ob*erved *eturn. The maxim*m </line>

<line> *alue c*rrespon*s to th* highest retur* observe*. *n pa*els B, portfolios were *ivided based on C*GR analys** into *hree </line>

<line> gr**ps, o*e fo*med by the b**t 2 year* dividen* *AGR, ot*er by t** best 3 yea*s dividend CA*R, and the l*st by **e best 5 </line>

</par>

<par>

<line> was calcula*ed based on equati*n 1. The </line>

<line> size of th* portfolios adopted values of 10%, </line>

</par>

<par>

<line> 20%, and 30%. The *o*mation period adopted *a*ues of a (annual), s (semi-annual) and q (quar*erly). *0 **nth*y *e*ur* da*a </line>

<line> w*re generated for each *o*tf*lio. T*e average return was obtained based on *he *rithmetic mean of the monthly retu*ns of </line>

</par>

<par>

<line> eac* */N portfolio f**med based o* t*e </line>

<line> formatio* </line>

<line> per*od. The stand*rd devia*ion w** also calcu*ated b*sed on </line>

</par>

<par>

<line> mo*thly *at*. The S*arpe *atio (SR) was *alculat** based *n equation 2. *he exc*s* return was calculat*d a* the dif*erenc* </line>

</par>

<par>

<line> between the t*t*l return of each p**tf*l*o subtr*ct*d *rom the t*tal return of the IFIX *nd after </line>

<line> annual**e*. The **n*mum </line>

</par>

<par>

<line> *alue c*rrespo**s to the lowest observed *ortfolio ret*rn. *he maximum value correspo*ds to the h*gh*st observed *or*fol*o </line>

<line> retur*. * denot*s significance at 10% a*d ** at *%, as m*asured *y bil*teral t-tes*. </line>

<line> Rev. F**, Teres*na PI, v. 2*, n. 2, art. *, p. 25-4*, f*v. 2025 www*.fs*net.com.*r/revis*a </line>

</par>

</page>

<page>

<par>

<line> R. P. Souza, R M. Roquete, A. L. C. Silva </line>

</par>

<par>

<line> Ult*m*te**, w*at is e*ident f*om Table 1 *s that the excess returns of the portfol*os </line>

<line> construc*e* a*cor*ing to the *ethodol**y of this article, except for por*folios C2(*0)Q *nd </line>

</par>

<par>

<line> d* not have statisti*al *i*ni*icance. Ther*fo**, i* can be conclude* that the </line>

</par>

<par>

<line> m*mentum st*ategy, when employe* w*th CAGR a* *he s*lectio* facto*, di* n** demo*strate </line>

<line> superior perform**ce t* the market index in t*r*s o* both retu*n and, in gen*r*l, risk. </line>

<line> Table 2 presents th* result* for the estimated alpha according *o the t*ree-factor </line>

<line> CAPM models, a* p*r Eq*ation 3. </line>

</par>

<par>

<line> None of t*e alphas calculat*d for the p*rtfoli** had positiv* </line>

</par>

<par>

<line> portfo*ios C2(10)Q and C3(10)S, *3(*0)Q, C3(2*)Q, C3(30)S, C3(30)Q, C5(20)Q, C5(30)*, </line>

<line> and C5(30)Q. Th*s means that thes* p*r*folios, a**hough they d*d not generate excess *eturns </line>

<line> compa*ed t* the mar*et index, *ossibly c*eat*d va*u* by prov*di*g a better *isk-return </line>

</par>

<par>

<line> re*ati*n. However, it *s i*portant *o *ot* that even </line>

<line> i* these </line>

<line> alphas did not reach </line>

</par>

<par>

<line> sta*istic*l si*nifi*ance higher than 10%. Thi* *e*ult suggests that, in *e*er*l, t*e portfolios did </line>

<line> not *ene*ate excess returns relat*v* to the market in*e* that c*uld be attributed to asset </line>

<line> selection *kills. I* the*e was any merit in the po**f**io'* return generation, it w** not du* to th* </line>

<line> moment*m str*tegy *sing *ividend C*GR as a selecti*n factor but rather to an ef*e*t of the </line>

<line> market risk *remium relative to t*e risk-f*ee rat*, capt*re* by the be*a r*s* factor coe*fi*i*nt </line>

<line> in Equa*i*n *, which is notably positive and *ighly **atistic*lly significant a* *h* 1% level fo* </line>

<line> *l* po*tfolios. </line>

<line> Tabel 2 - CAPM 3 f*ct*rs m*del </line>

</par>

<par>

<line> F**m*tion period </line>

</par>

<par>

</par>

<par>

<line> years </line>

</par>

<par>

</par>

<par>

<line> years </line>

</par>

<par>

<line> Rev. FSA, Teresina, v. 22, n. 2, art. 2, p. 2*-45, f*v. 2*25 </line>

<line> www4.fsa*et.com.br/revista </line>

</par>

</page>

<page>

<par>

<line> Di*idend Cagr as an Ass*t Selection Criterion *n Momentum Strategies *f B*azi*ian Reits </line>

</par>

<par>

</par>

<par>

</par>

<par>

</par>

<par>

<line> *ote: Portfol*os were div*ded based on CAGR an*lys*s into thre* groups, *ne formed by t*e bes* 2 </line>

<line> *ears dividend C*GR, </line>

</par>

<par>

<line> ot*er by the best 3 years divide*d *AGR, and the last by *he best 5 years div*dend CA*R. The CAG* *** ca*culat** base* </line>

<line> on equa*ion 3. The siz* of the portfoli*s a*o*ted va*ues o* 1*%, 20%, and 3*%. The for*a*ion per*od adopt*d v*lues *f a </line>

<line> (*nnual), s (s*mester) *nd q (quarter*y). 60 monthly **t*rn da*a were generat*d f*r *ach p*rtfol**. 60 monthly *eturn da*a </line>

<line> w*re generated *o* ea*h *ortfol*o bet*ee* January 2*18 and Decemb** 2***. The th*ee-facto* C*** model was esti*ated </line>

</par>

<par>

<line> according *o Equation 3. No *lpha </line>

<line> *or the *hree-fa*tor model *s </line>

<line> *i*nif*c*nt at **e 10% leve* or l*ss. All model eq**tions </line>

</par>

<par>

<row> pas*ed the White Test for heteroscedas*icity. * denotes significance at *0%, ** *t 5% and *** at 1%. </row>

<row> Additionally, *t i* *elevant to me*t*on that, to a lesser extent, in some portfolios, an </row>

<row> effect relat*d to "small st*c*s" was identi**ed, as in*icat*d ** the SMB risk facto* in Equa*ion </row>

<row> 3. Althou*h *his *actor wa* sl*ghtly positive, i* sho*e* *t*tis****l significanc* i* some </row>

<row> portfolios, *uggesting that t*e s*ze of t*e *elected BR-REITs *ay have playe* a s**ondary </row>

<row> role in the *eturn genera*ion of some po*tfolios under a*alysis. </row>

</column>

<par>

<line> CONCLUS*ON </line>

<line> This artic*e ana*y*ed the *esults of p*rtfolios of Brazi*ian Real Estat* *nv*stme*t </line>

</par>

<row> Trusts (BR-REITs) *ormed using momentum s**ategies *ith div*dend CA*R as the selection </row>

<row> factor b*tween Janu*ry *018 and December *022. T*ese portfolios were analy*e* bo** *n </row>

<row> terms *f the*r excess return, thr*ug* the generat*o* of alphas, and in terms of ri*k, measuri*g </row>

<row> t**ir *o*atilities and S*a*pe *a*ios, always comparing them with the r*sults obta*ned by th* </row>

<row> *arket portf*lio (*FIX). </row>

<row> Th* resul*s obtained by the study sug*est tha* th*re was no evidence o* superior </row>

<row> perfor*ance in portfolios that a*opted the momentum strategy *a*ed on dividend CAGR, </row>

<row> *o*h i* terms *f return and risk, compare* to the market index. </row>

<row> *o*e of t*e *ormed portfol*os showe* an alph* that w*s *tatistically *ig*i*ican*. The </row>

<row> absence of a *ign*ficant alph* sugges*s *hat the *om*nt*m strategy, *s *pplie* i* t*is st*dy, </row>

<row> di* not de*onst*ate the ability *o gen*rat* returns *hat *ould b* attr*but** to asset se*e*tion </row>

<row> Rev. FSA, Teresina PI, *. 22, n. 2, art. 2, p. 25-**, fev. 2025 w*w4.fsanet.c*m.b*/revista </row>

</column>

</par>

</page>

<page>

<par>

<line> R. P. Sou*a, * M. Roq*ete, *. L. C. Silva </line>

</par>

<par>

<line> ski*ls of the st*a*egy, wh*ch l** to t*e decision to not proceed w**h the anal*s*s u*ing another </line>

<line> *ultifactor *od*l, **ch as t*e 5-fa*tor CAPM. </line>

<line> It is w*rth noting that some portfo*ios, such *s C2(10)Q and C3(30)Q, possibly exhibi* </line>

</par>

<par>

<line> a be*ter risk/return re*ation **an t** market portfolio </line>

<line> as measured *y the *harpe Ratio. One </line>

</par>

<par>

<line> assump*i*n for this b*havi*r i* the more *r*quent reba*an*ing s*rate*y (**arter**) and the use </line>

<line> of not-so-d*sta*t CAGRs (2 and 3 ye*rs), which aligns with J*gadeesh and Titman'* (1993) </line>

<line> under*tand*ng t*at mo*entum st*ategi*s te*d to *ave their gen*rate* *lpha *eve*sed after *2 </line>

<line> mo**hs, indicating that suc* a strategy *ork* bette* in a *h*rt-*erm approac*. As suggest*ons </line>

<line> fo* futur* studies, it would be in*ere*ting to perform addition*l t*sts w*th *onthly *ebala*cin* </line>

<line> an* * (one) year CAGRs to further e*plore *h*s* dynamics. </line>

<line> Fi*ally, it is importan* to highli*ht that the *esult* *f this *tudy *ere calc*la*ed over a </line>

<line> *elati*el* **ort per*od com*ared to the r*al estate market cycl*. This l*mitation wa* due to the </line>

</par>

<par>

<line> re*orted issues of a lack of a rele*ant *niverse sample o* available *unds withi* </line>

<line> the applied </line>

</par>

<par>

<line> m*thodology. Add*tion*lly, duri*g this short time fram*, we h*d the mar*et effects of </line>

</par>

<par>

<line> coronavirus pandem*c, which </line>

<line> could have als* *on*ri*uted *o the distortion </line>

<line> of the results </line>

</par>

<par>

<line> f*und. The*e*ore, the ana*ysis covered a more restri*t*d period, which may </line>

<line> impact the </line>

</par>

<par>

<line> gen*ral*zat*on of th* results to *onger p*riod*. *uture research ma* consid*r expandi*g </line>

</par>

<par>

<line> bec*mes available </line>

<line> to gain a *o*e compr*hensive </line>

</par>

<par>

<line> understan*ing of the </line>

<line> performance </line>

<line> of momen*um *trategies in the context </line>

<line> estate </line>

</par>

<par>

</par>

<par>

<line> Compari*g w*th the *rticle written by Barreto a*d Cam*ani *hat *nspired thi* study, </line>

<line> the initial expectation wa* to fin* a meth*dology *h*t gen*rates alpha, prob*bly **all*r tha* </line>

</par>

<par>

<line> Barret* an* Cam*ani found, but with *ower </line>

<line> volatil*ty *nd easier to *epl*cat* </line>

</par>

<par>

<line> individual investor *ince i* would r*q*ir* less asset turnover in the *ortf*l*o. Ho*ev*r, </line>

</par>

<par>

<line> me*hodo*ogy discovere* in this article did not sci**tific**ly *rove t* be alpha-generating. This </line>

<line> suggests that, *ue to t*e s*ill emerg*ng stage of th*s market *n Brazil, *s*et *ri*es are much </line>

</par>

<par>

<line> more *ensiti** </line>

<line> to short-te*m res**ts than quality f*n*ament**s such as the ma*agement's </line>

</par>

<par>

<line> a*ili*y to deli*er increasing and recurring re*ults. </line>

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</page>

<page>

<par>

<line> Divid*nd Cagr as a* Asset Se*ec*io* C*it*rion in Mo*entum Str*tegi*s *f Brazi*ian *eits </line>

</par>

<par>

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<par>

<line> C*mo Referen*iar este Artigo, conform* ABNT: </line>

<line> SOUZ*, R. P; ROQUETE, R *; SILVA, A. L. C. Dividend Cagr as an As*e* S*l**tion Criterion in </line>

<line> Moment*m Stra*egies of Br*zilian Reits. R*v. FSA, T*resin*, v. 22, *. 2, art. *, p. 25-45, fev. 2025. </line>

</par>

<par>

<line> Co*tribuição dos Autores </line>

<line> R. P. Souza </line>

<line> R M. Roquete </line>

</par>

<par>

<line> 1) concepção e *l*n*jamento. </line>

</par>

<par>

<line> *) análise e interp*etação *o* dad*s. </line>

</par>

<par>

<line> 3) elabora*ão do rascunho ou *a revisão crítica d* co**e*do. </line>

</par>

<par>

<line> 4) pa*ticip*ção na aprovação da ve*são f*nal do manuscrito. </line>

</par>

<par>

<line> www4.fsanet.com.br/revista </line>

</par>

</page>

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