In cash we trust: cash holdings in the Brazilian equity fund industry

• Autor(a) principal: Schinazi, Beny
• Data de Publicação: 2015
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
• Texto Completo: http://hdl.handle.net/10438/14717
• topic: Alocação em caixa; Gestão de portfólio; Equity funds; Cash holdings; Stock selection and portfolio management; Administração de empresas; Mercado financeiro; Fundos de investimento; Investimentos; Ações (Finanças)

We study cash allocation ability as a possible explanatory factor that allows equity fund managers to produce high levels of adjusted returns (not explained by the risk factors they are exposed to). In order to do so, we explore the non-indexed Brazilian equity fund industry during the period of January 2006 to February 2015, evaluating cash allocation ability by level and effectiveness of cash deployment using return-based and holding-based approaches to explore a database of monthly invested assets and returns. We found that even though market timing is a rare skill in the industry, the flexibility to hold high levels of cash played a significant role in the result of over performing managers.