Índice de atividade dos fundos de investimento em ações: determinantes e consequências

Detalhes bibliográficos
Autor(a) principal: Milan, Pedro Luiz Albertin Bono
Data de Publicação: 2012
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/10364
Resumo: This dissertation measures asset turnover in the Brazilian market for stock investment funds and the impact of this activity on the performance of the funds. In addition, seeks to highlight the determinants of turnover using the characteristics of the funds and their managers. The study follows Gaspar, Massa and Matos (2005) methodology of measuring turnover and uses Sharpe and Jensen Ratios for measuring fund performance. Using a database containing composition, returns, fund characteristics and manager, the dissertation shows that turnover negatively impacts the performance of the funds. The manager's age, educational background and market experience, are crucial to high levels of turnover.
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spelling Milan, Pedro Luiz Albertin BonoEscolas::EAESPEid Júnior, WilliamSheng, Hsia HuaSanvicente, Antonio ZorattoEid Júnior, William2013-01-08T16:56:28Z2013-01-08T16:56:28Z2012-12-13MILAN, Pedro Luiz Albertin Bono. Índice de atividade dos fundos de investimento em ações: determinantes e consequências. Dissertação (Mestrado em Administração de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2012.http://hdl.handle.net/10438/10364This dissertation measures asset turnover in the Brazilian market for stock investment funds and the impact of this activity on the performance of the funds. In addition, seeks to highlight the determinants of turnover using the characteristics of the funds and their managers. The study follows Gaspar, Massa and Matos (2005) methodology of measuring turnover and uses Sharpe and Jensen Ratios for measuring fund performance. Using a database containing composition, returns, fund characteristics and manager, the dissertation shows that turnover negatively impacts the performance of the funds. The manager's age, educational background and market experience, are crucial to high levels of turnover.Este trabalho estima, no mercado brasileiro, o índice de atividade de compra e venda de ativos que compõem os fundos de investimento em ações e o impacto dessa atividade no desempenho dos fundos. Além disso, o estudo procura evidenciar os determinantes do índice de atividade usando as características dos fundos e as características dos gestores. O estudo segue a metodologia de mensuração de atividade de Gaspar, Massa e Matos (2005) e Índice de Sharpe e Índice de Jensen para mensuração de desempenho dos fundos. Através de base de dados de composição, retornos, características dos fundos e características dos gestores, o estudo destaca elevados índices de atividade, impactando negativamente o desempenho dos fundos. A idade, a formação acadêmica e a experiência de mercado do gestor são determinantes para altos níveis de atividade dos fundos.porGestão ativaÍndice de atividadeBrasilAdministração de empresasFundos de investimento - BrasilAções (Finanças)Mercado financeiro - BrasilÍndice de atividade dos fundos de investimento em ações: determinantes e consequênciasinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINAL336763.pdf336763.pdfapplication/pdf960608https://repositorio.fgv.br/bitstreams/cf1c9076-a8f8-4d73-a764-f8525f5216bf/download5fc6ecf85af3dd6abc9f4f53f9310742MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/101f3e31-cf26-42d3-9a5c-33a0afa05dcb/downloaddfb340242cced38a6cca06c627998fa1MD52TEXT336763.pdf.txt336763.pdf.txtExtracted 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dc.title.por.fl_str_mv Índice de atividade dos fundos de investimento em ações: determinantes e consequências
title Índice de atividade dos fundos de investimento em ações: determinantes e consequências
spellingShingle Índice de atividade dos fundos de investimento em ações: determinantes e consequências
Milan, Pedro Luiz Albertin Bono
Gestão ativa
Índice de atividade
Brasil
Administração de empresas
Fundos de investimento - Brasil
Ações (Finanças)
Mercado financeiro - Brasil
title_short Índice de atividade dos fundos de investimento em ações: determinantes e consequências
title_full Índice de atividade dos fundos de investimento em ações: determinantes e consequências
title_fullStr Índice de atividade dos fundos de investimento em ações: determinantes e consequências
title_full_unstemmed Índice de atividade dos fundos de investimento em ações: determinantes e consequências
title_sort Índice de atividade dos fundos de investimento em ações: determinantes e consequências
author Milan, Pedro Luiz Albertin Bono
author_facet Milan, Pedro Luiz Albertin Bono
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EAESP
dc.contributor.member.none.fl_str_mv Eid Júnior, William
Sheng, Hsia Hua
Sanvicente, Antonio Zoratto
dc.contributor.author.fl_str_mv Milan, Pedro Luiz Albertin Bono
dc.contributor.advisor1.fl_str_mv Eid Júnior, William
contributor_str_mv Eid Júnior, William
dc.subject.por.fl_str_mv Gestão ativa
Índice de atividade
Brasil
topic Gestão ativa
Índice de atividade
Brasil
Administração de empresas
Fundos de investimento - Brasil
Ações (Finanças)
Mercado financeiro - Brasil
dc.subject.area.por.fl_str_mv Administração de empresas
dc.subject.bibliodata.por.fl_str_mv Fundos de investimento - Brasil
Ações (Finanças)
Mercado financeiro - Brasil
description This dissertation measures asset turnover in the Brazilian market for stock investment funds and the impact of this activity on the performance of the funds. In addition, seeks to highlight the determinants of turnover using the characteristics of the funds and their managers. The study follows Gaspar, Massa and Matos (2005) methodology of measuring turnover and uses Sharpe and Jensen Ratios for measuring fund performance. Using a database containing composition, returns, fund characteristics and manager, the dissertation shows that turnover negatively impacts the performance of the funds. The manager's age, educational background and market experience, are crucial to high levels of turnover.
publishDate 2012
dc.date.issued.fl_str_mv 2012-12-13
dc.date.accessioned.fl_str_mv 2013-01-08T16:56:28Z
dc.date.available.fl_str_mv 2013-01-08T16:56:28Z
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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status_str publishedVersion
dc.identifier.citation.fl_str_mv MILAN, Pedro Luiz Albertin Bono. Índice de atividade dos fundos de investimento em ações: determinantes e consequências. Dissertação (Mestrado em Administração de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2012.
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/10364
identifier_str_mv MILAN, Pedro Luiz Albertin Bono. Índice de atividade dos fundos de investimento em ações: determinantes e consequências. Dissertação (Mestrado em Administração de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2012.
url http://hdl.handle.net/10438/10364
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