Brazilian Investments Funds: the influence of higher moments in performance evaluation
Autor(a) principal: | |
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Data de Publicação: | 2010 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Revista Brasileira de Gestão de Negócios (Online) |
Texto Completo: | https://rbgn.fecap.br/RBGN/article/view/654 |
Resumo: | The mutual fund industry plays an important role in picking up and allocating resources in the Brazilian market. Its importance increased significantly after the country’s economic opening, as well as the number of funds an it’s amount of resources under management. The main models of portfolio’s performance evaluation are conditioned to the assumption of normality of returns distribution and the relation between the first and the second moment, like the traditional CAPM model. But, the normality is not always observed and the inclusion of superior moments in the model may be interesting to catch the systematic skewness and kurtosis effect. In the present article, the co-skewness and co-kurtosis variables are added to the CAPM model. Several regressions are estimated by the ordinary least squares method, applied into the Brazilian mutual fund context. The results point out that the addition of superior moments in the national context, is not very relevant. In order to validate the study, two alternative sub-samples were made, in which the results kept the same. Key words: Mutual funds. Performance. Superior moments. |
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Brazilian Investments Funds: the influence of higher moments in performance evaluationFondos de Inversión Brasileños: la influencia de los momentos superiores en la evaluación de la rentabilidadFundos de Investimento Brasileiros: a influência dos momentos superiores na avaliação de desempenhoMutual funds. Performance. Superior moments.Fondos de inversión. Rendimiento. Momentos superiores.Fundos de investimento. Performance. Momentos superiores. The mutual fund industry plays an important role in picking up and allocating resources in the Brazilian market. Its importance increased significantly after the country’s economic opening, as well as the number of funds an it’s amount of resources under management. The main models of portfolio’s performance evaluation are conditioned to the assumption of normality of returns distribution and the relation between the first and the second moment, like the traditional CAPM model. But, the normality is not always observed and the inclusion of superior moments in the model may be interesting to catch the systematic skewness and kurtosis effect. In the present article, the co-skewness and co-kurtosis variables are added to the CAPM model. Several regressions are estimated by the ordinary least squares method, applied into the Brazilian mutual fund context. The results point out that the addition of superior moments in the national context, is not very relevant. In order to validate the study, two alternative sub-samples were made, in which the results kept the same. Key words: Mutual funds. Performance. Superior moments.La industria de fondos de inversión desempeña importante papel en la captación y asignación de recursos en el mercado brasileño. Su importancia aumentó considerablemente después de la apertura económica del país, así como el número de fondos y el monto de los recursos que ellos administran. Los principales modelos que miden la rentabilidad de los portfolios están asociados con la presuposición de la normalidad de las distribuciones del retorno y con la relación entre el primero y el segundo momento, como es el caso del tradicional modelo CAPM. Sin embargo, la normalidad no siempre se realiza y la inclusión de momentos superiores en el modelo de fijación de precios puede ser interesante para captar los efectos de asimetría y curtosis sistemáticas. En este artículo las variables de coasimetría y cocurtosis se agregan al modelo CAPM. Por medio del método de mínimos cuadrados ordinarios se calculan diversas regresiones, aplicadas al contexto del mercado brasileño de fondos de inversión. Los resultados indican que la inclusión de los momentos superiores, en el contexto nacional, no es de gran relevancia para mejorar el modelo. Para validar el estudio se formaron dos submuestras alternativas en las que se mantuvieron los mismos resultados.Palabras clave: Fondos de inversión. Rendimiento. Momentos superiores. A indústria de fundos de investimento desempenha importante papel na captação e alocação de recursos no mercado brasileiro. Sua importância aumentou consideravelmente após a abertura econômica do país, bem como o número de fundos e o montante de recursos por eles administrado. Os principais modelos de mensuração de performance de portfólios estão atrelados ao pressuposto da normalidade das distribuições de retornos e à relação entre o primeiro e o segundo momento, como é o caso do tradicional modelo CAPM. Contudo, a normalidade nem sempre é verificada e a inclusão de momentos superiores no modelo de precificação pode ser interessante para captar os efeitos da assimetria e curtose sistemáticas. No presente artigo, as variáveis co-assimetria e co-curtose são adicionadas ao modelo CAPM. Por meio do método de mínimos quadrados ordinários, são estimadas diversas regressões, aplicadas ao contexto do mercado brasileiro de fundos de investimento. Os resultados apontam que a inclusão dos momentos superiores, no contexto nacional, não é de grande relevância para a melhoria do modelo. Para validar o estudo, duas sub-amostras alternativas foram formadas, nas quais os resultados mantêm-se os mesmos. Palavras-chave: Fundos de investimento. Performance. Momentos superiores. FECAP2010-10-04info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionAvaliado por paresapplication/pdfhttps://rbgn.fecap.br/RBGN/article/view/65410.7819/rbgn.v12i36.654Review of Business Management; Vol. 12 No. 36 (2010); 289-303RBGN Revista Brasileira de Gestão de Negócios; Vol. 12 Núm. 36 (2010); 289-303RBGN - Revista Brasileira de Gestão de Negócios; v. 12 n. 36 (2010); 289-3031983-08071806-4892reponame:Revista Brasileira de Gestão de Negócios (Online)instname:Fundação Escola de Comércio Álvares Penteado (FECAP)instacron:FECAPporhttps://rbgn.fecap.br/RBGN/article/view/654/639Copyright (c) 2014 Review of Business Managementinfo:eu-repo/semantics/openAccessMilani, BrunoCeretta, Paulo SérgioGalvão de Barba, FernandaCasarin, Fernando2021-07-21T16:40:23Zoai:ojs.emnuvens.com.br:article/654Revistahttp://rbgn.fecap.br/RBGN/indexhttps://rbgn.fecap.br/RBGN/oai||jmauricio@fecap.br1983-08071806-4892opendoar:2021-07-21T16:40:23Revista Brasileira de Gestão de Negócios (Online) - Fundação Escola de Comércio Álvares Penteado (FECAP)false |
dc.title.none.fl_str_mv |
Brazilian Investments Funds: the influence of higher moments in performance evaluation Fondos de Inversión Brasileños: la influencia de los momentos superiores en la evaluación de la rentabilidad Fundos de Investimento Brasileiros: a influência dos momentos superiores na avaliação de desempenho |
title |
Brazilian Investments Funds: the influence of higher moments in performance evaluation |
spellingShingle |
Brazilian Investments Funds: the influence of higher moments in performance evaluation Milani, Bruno Mutual funds. Performance. Superior moments. Fondos de inversión. Rendimiento. Momentos superiores. Fundos de investimento. Performance. Momentos superiores. |
title_short |
Brazilian Investments Funds: the influence of higher moments in performance evaluation |
title_full |
Brazilian Investments Funds: the influence of higher moments in performance evaluation |
title_fullStr |
Brazilian Investments Funds: the influence of higher moments in performance evaluation |
title_full_unstemmed |
Brazilian Investments Funds: the influence of higher moments in performance evaluation |
title_sort |
Brazilian Investments Funds: the influence of higher moments in performance evaluation |
author |
Milani, Bruno |
author_facet |
Milani, Bruno Ceretta, Paulo Sérgio Galvão de Barba, Fernanda Casarin, Fernando |
author_role |
author |
author2 |
Ceretta, Paulo Sérgio Galvão de Barba, Fernanda Casarin, Fernando |
author2_role |
author author author |
dc.contributor.author.fl_str_mv |
Milani, Bruno Ceretta, Paulo Sérgio Galvão de Barba, Fernanda Casarin, Fernando |
dc.subject.por.fl_str_mv |
Mutual funds. Performance. Superior moments. Fondos de inversión. Rendimiento. Momentos superiores. Fundos de investimento. Performance. Momentos superiores. |
topic |
Mutual funds. Performance. Superior moments. Fondos de inversión. Rendimiento. Momentos superiores. Fundos de investimento. Performance. Momentos superiores. |
description |
The mutual fund industry plays an important role in picking up and allocating resources in the Brazilian market. Its importance increased significantly after the country’s economic opening, as well as the number of funds an it’s amount of resources under management. The main models of portfolio’s performance evaluation are conditioned to the assumption of normality of returns distribution and the relation between the first and the second moment, like the traditional CAPM model. But, the normality is not always observed and the inclusion of superior moments in the model may be interesting to catch the systematic skewness and kurtosis effect. In the present article, the co-skewness and co-kurtosis variables are added to the CAPM model. Several regressions are estimated by the ordinary least squares method, applied into the Brazilian mutual fund context. The results point out that the addition of superior moments in the national context, is not very relevant. In order to validate the study, two alternative sub-samples were made, in which the results kept the same. Key words: Mutual funds. Performance. Superior moments. |
publishDate |
2010 |
dc.date.none.fl_str_mv |
2010-10-04 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Avaliado por pares |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://rbgn.fecap.br/RBGN/article/view/654 10.7819/rbgn.v12i36.654 |
url |
https://rbgn.fecap.br/RBGN/article/view/654 |
identifier_str_mv |
10.7819/rbgn.v12i36.654 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://rbgn.fecap.br/RBGN/article/view/654/639 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2014 Review of Business Management info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2014 Review of Business Management |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
FECAP |
publisher.none.fl_str_mv |
FECAP |
dc.source.none.fl_str_mv |
Review of Business Management; Vol. 12 No. 36 (2010); 289-303 RBGN Revista Brasileira de Gestão de Negócios; Vol. 12 Núm. 36 (2010); 289-303 RBGN - Revista Brasileira de Gestão de Negócios; v. 12 n. 36 (2010); 289-303 1983-0807 1806-4892 reponame:Revista Brasileira de Gestão de Negócios (Online) instname:Fundação Escola de Comércio Álvares Penteado (FECAP) instacron:FECAP |
instname_str |
Fundação Escola de Comércio Álvares Penteado (FECAP) |
instacron_str |
FECAP |
institution |
FECAP |
reponame_str |
Revista Brasileira de Gestão de Negócios (Online) |
collection |
Revista Brasileira de Gestão de Negócios (Online) |
repository.name.fl_str_mv |
Revista Brasileira de Gestão de Negócios (Online) - Fundação Escola de Comércio Álvares Penteado (FECAP) |
repository.mail.fl_str_mv |
||jmauricio@fecap.br |
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