The main aim of this paper is to verify whether there is short or long memory behaviour in returns and volatilities and whether the behaviour is similar for two groups of companies listed on IBOVESPA: higher and lower price-earnings (P/E) ratios in December 2019. It is considered the period from 01 January, 2016 to 31 December, 2022. The fractionally integrated parameter (d) is used to check for short or long memory. In general, for returns and volatilities, the results are very similar for both groups of companies (higher P/E or lower P/E). The long-memory behaviour, when occurs, especially for volatilities, is not constant over time, transitory and disappears.Moreover, even in periods of possible above-average, as in the case of the COVID-19 pandemic, this is not possible without the investor incurs above-average risks.
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