Abstract Some studies suggest that low capitalization stocks have great potential to provide returns above the market average, although some indicate that investment in small caps should be avoided, since they are market anomalies with low liquidity. This article develops a method based on an automated trading system (ATS) applied to the Brazilian stock market, and investigates the relevance of small caps to the investor. The study indicates that, in the case of the Brazilian stock exchange, although there is a possibility of high returns the profitability of technical analysis of small caps is similar to strategies using blue chips.

中文翻译：

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小型股在巴西股票市场中产生的收益高于平均水平吗？

摘要一些研究表明，低资本股具有提供高于市场平均水平的回报的巨大潜力，尽管一些研究表明应避免投资于小盘股，因为它们是流动性低的市场异常现象。本文开发了一种适用于巴西股市的基于自动交易系统（ATS）的方法，并研究了小盘股对投资者的相关性。研究表明，就巴西证券交易所而言，尽管存在高回报的可能性，但小盘技术分析的获利能力类似于采用蓝筹股的策略。