A relação fluxo-performance nos fundos multimercados de gestores independentes

Detalhes bibliográficos
Autor(a) principal: Santos, Pedro Gama Rodrigues dos
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/31335
Resumo: Esse trabalho busca estudar a relação entre o fluxo financeiro nos fundos de investimento multimercados brasileiros, e sua performance passada. A partir de uma amostra significativa, com mais de 1300, e uma janela temporal de 10 anos, confirmamos resultados encontrados anteriormente na literatura sobre essa relação, e encontramos uma relação positiva e convexa entre os fluxos futuros e a performance passada. Além disso, através de diversos testes, mostramos que essa relação é robusta, mesmo quando mudamos a forma funcional de estimação, métrica de performance utilizada, e diferentes janelas de agregação temporal. Também documentamos a variação temporal dessa relação, mostrando, pela primeira na literatura brasileira que a relação fluxo-performance varia no tempo, e tem se tornado mais convexa no mercado brasileiro.
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spelling Santos, Pedro Gama Rodrigues dosEscolas::EPGEGonçalves, Edson Daniel LopesAraujo, Gustavo SilvaGlasman, Daniela Kubudi2021-12-01T12:04:28Z2021-12-01T12:04:28Z2021-08-24https://hdl.handle.net/10438/31335Esse trabalho busca estudar a relação entre o fluxo financeiro nos fundos de investimento multimercados brasileiros, e sua performance passada. A partir de uma amostra significativa, com mais de 1300, e uma janela temporal de 10 anos, confirmamos resultados encontrados anteriormente na literatura sobre essa relação, e encontramos uma relação positiva e convexa entre os fluxos futuros e a performance passada. Além disso, através de diversos testes, mostramos que essa relação é robusta, mesmo quando mudamos a forma funcional de estimação, métrica de performance utilizada, e diferentes janelas de agregação temporal. Também documentamos a variação temporal dessa relação, mostrando, pela primeira na literatura brasileira que a relação fluxo-performance varia no tempo, e tem se tornado mais convexa no mercado brasileiro.This research aims to study the relationship between fund flows for brazilian hedge funds and their past performance. Using a large sample, with over 1300 funds, and a time window of 10 years, we confirm previously reported results about this relationship, and find a positive and convex relationship between past performance and future fund flows. Afterward, through many tests, we show that the relationship is robust, even when we change the functional form of the estimation, performance metric used, and diferent time windows for the aggregations. We also document the time variation of this relationship, and show, for the first time in the brazilian literature, that the flow- performance relationship is time-varying, and has become more convex over time in Brazil.porFundos de investimentoFundos multimercadoRelação fluxoperformanceMutual fundsHedge fundsFund-flow relationEconomiaFundos de investimentoInvestimentos - AnáliseFundos hedge - BrasilA relação fluxo-performance nos fundos multimercados de gestores independentesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesis2021-08-24info:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALDissertação - Pedro Gama.pdfDissertação - Pedro Gama.pdfPDFapplication/pdf781011https://repositorio.fgv.br/bitstreams/354e9a37-9d4a-4a32-a854-3eec9bd6ff08/download8af1bbaa3772e5643d377fcb6a6fcb15MD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.por.fl_str_mv A relação fluxo-performance nos fundos multimercados de gestores independentes
title A relação fluxo-performance nos fundos multimercados de gestores independentes
spellingShingle A relação fluxo-performance nos fundos multimercados de gestores independentes
Santos, Pedro Gama Rodrigues dos
Fundos de investimento
Fundos multimercado
Relação fluxoperformance
Mutual funds
Hedge funds
Fund-flow relation
Economia
Fundos de investimento
Investimentos - Análise
Fundos hedge - Brasil
title_short A relação fluxo-performance nos fundos multimercados de gestores independentes
title_full A relação fluxo-performance nos fundos multimercados de gestores independentes
title_fullStr A relação fluxo-performance nos fundos multimercados de gestores independentes
title_full_unstemmed A relação fluxo-performance nos fundos multimercados de gestores independentes
title_sort A relação fluxo-performance nos fundos multimercados de gestores independentes
author Santos, Pedro Gama Rodrigues dos
author_facet Santos, Pedro Gama Rodrigues dos
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.member.none.fl_str_mv Gonçalves, Edson Daniel Lopes
Araujo, Gustavo Silva
dc.contributor.author.fl_str_mv Santos, Pedro Gama Rodrigues dos
dc.contributor.advisor1.fl_str_mv Glasman, Daniela Kubudi
contributor_str_mv Glasman, Daniela Kubudi
dc.subject.por.fl_str_mv Fundos de investimento
Fundos multimercado
Relação fluxoperformance
topic Fundos de investimento
Fundos multimercado
Relação fluxoperformance
Mutual funds
Hedge funds
Fund-flow relation
Economia
Fundos de investimento
Investimentos - Análise
Fundos hedge - Brasil
dc.subject.eng.fl_str_mv Mutual funds
Hedge funds
Fund-flow relation
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Fundos de investimento
Investimentos - Análise
Fundos hedge - Brasil
description Esse trabalho busca estudar a relação entre o fluxo financeiro nos fundos de investimento multimercados brasileiros, e sua performance passada. A partir de uma amostra significativa, com mais de 1300, e uma janela temporal de 10 anos, confirmamos resultados encontrados anteriormente na literatura sobre essa relação, e encontramos uma relação positiva e convexa entre os fluxos futuros e a performance passada. Além disso, através de diversos testes, mostramos que essa relação é robusta, mesmo quando mudamos a forma funcional de estimação, métrica de performance utilizada, e diferentes janelas de agregação temporal. Também documentamos a variação temporal dessa relação, mostrando, pela primeira na literatura brasileira que a relação fluxo-performance varia no tempo, e tem se tornado mais convexa no mercado brasileiro.
publishDate 2021
dc.date.accessioned.fl_str_mv 2021-12-01T12:04:28Z
dc.date.available.fl_str_mv 2021-12-01T12:04:28Z
dc.date.issued.fl_str_mv 2021-08-24
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
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