Flow induced trading by active and indexed funds: stock share return predictability in Brazil

Detalhes bibliográficos
Autor(a) principal: Cunha, Aline Helena Azevedo
Data de Publicação: 2015
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Biblioteca Digital de Teses e Dissertações do INSPER
Texto Completo: https://www.repositorio.insper.edu.br/handle/11224/1461
Resumo: The paper intends to analyze the impact of active and indexed funds’ expected future flows in the return of the stock shares they hold. In order to do so, we built a variable that takes in account how the funds respond to new flows, regarding the transaction of shares, and the expected flow, separating funds classified as Pure Indexing, Closet Indexed and Stock Picking. The results show that the variable helps to explain shares’ return especially in holding periods of four, five and six months. We also built long-short portfolios considering the output of the model and the results show that they perform better than the risk free benchmark in the most part of the period.
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spelling Flow induced trading by active and indexed funds: stock share return predictability in BrazilPrice pressurefundsflow induced tradinglong-short portfolioThe paper intends to analyze the impact of active and indexed funds’ expected future flows in the return of the stock shares they hold. In order to do so, we built a variable that takes in account how the funds respond to new flows, regarding the transaction of shares, and the expected flow, separating funds classified as Pure Indexing, Closet Indexed and Stock Picking. The results show that the variable helps to explain shares’ return especially in holding periods of four, five and six months. We also built long-short portfolios considering the output of the model and the results show that they perform better than the risk free benchmark in the most part of the period.Bonomo, Marco Antonio CesarCunha, Aline Helena AzevedoCunha, Aline Helena Azevedo2021-09-13T03:17:00Z2016-09-06T13:43:25Z2021-09-13T03:17:00Z20152016-09-06T13:43:25Z20152015info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesis23 p.application/pdfhttps://www.repositorio.insper.edu.br/handle/11224/1461São PauloTODOS OS DOCUMENTOS DESSA COLEÇÃO PODEM SER ACESSADOS, MANTENDO-SE OS DIREITOS DOS AUTORES PELA CITAÇÃO DA ORIGEMinfo:eu-repo/semantics/openAccessporreponame:Biblioteca Digital de Teses e Dissertações do INSPERinstname:Instituição de Ensino Superior e de Pesquisa (INSPER)instacron:INSPER2024-04-01T12:20:56Zoai:repositorio.insper.edu.br:11224/1461Biblioteca Digital de Teses e Dissertaçõeshttps://www.insper.edu.br/biblioteca-telles/PRIhttps://repositorio.insper.edu.br/oai/requestbiblioteca@insper.edu.br ||opendoar:2024-04-01T12:20:56Biblioteca Digital de Teses e Dissertações do INSPER - Instituição de Ensino Superior e de Pesquisa (INSPER)false
dc.title.none.fl_str_mv Flow induced trading by active and indexed funds: stock share return predictability in Brazil
title Flow induced trading by active and indexed funds: stock share return predictability in Brazil
spellingShingle Flow induced trading by active and indexed funds: stock share return predictability in Brazil
Cunha, Aline Helena Azevedo
Price pressure
funds
flow induced trading
long-short portfolio
title_short Flow induced trading by active and indexed funds: stock share return predictability in Brazil
title_full Flow induced trading by active and indexed funds: stock share return predictability in Brazil
title_fullStr Flow induced trading by active and indexed funds: stock share return predictability in Brazil
title_full_unstemmed Flow induced trading by active and indexed funds: stock share return predictability in Brazil
title_sort Flow induced trading by active and indexed funds: stock share return predictability in Brazil
author Cunha, Aline Helena Azevedo
author_facet Cunha, Aline Helena Azevedo
author_role author
dc.contributor.none.fl_str_mv Bonomo, Marco Antonio Cesar
dc.contributor.author.fl_str_mv Cunha, Aline Helena Azevedo
Cunha, Aline Helena Azevedo
dc.subject.por.fl_str_mv Price pressure
funds
flow induced trading
long-short portfolio
topic Price pressure
funds
flow induced trading
long-short portfolio
description The paper intends to analyze the impact of active and indexed funds’ expected future flows in the return of the stock shares they hold. In order to do so, we built a variable that takes in account how the funds respond to new flows, regarding the transaction of shares, and the expected flow, separating funds classified as Pure Indexing, Closet Indexed and Stock Picking. The results show that the variable helps to explain shares’ return especially in holding periods of four, five and six months. We also built long-short portfolios considering the output of the model and the results show that they perform better than the risk free benchmark in the most part of the period.
publishDate 2015
dc.date.none.fl_str_mv 2015
2015
2015
2016-09-06T13:43:25Z
2016-09-06T13:43:25Z
2021-09-13T03:17:00Z
2021-09-13T03:17:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://www.repositorio.insper.edu.br/handle/11224/1461
url https://www.repositorio.insper.edu.br/handle/11224/1461
dc.language.iso.fl_str_mv por
language por
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 23 p.
application/pdf
dc.coverage.none.fl_str_mv São Paulo
dc.source.none.fl_str_mv reponame:Biblioteca Digital de Teses e Dissertações do INSPER
instname:Instituição de Ensino Superior e de Pesquisa (INSPER)
instacron:INSPER
instname_str Instituição de Ensino Superior e de Pesquisa (INSPER)
instacron_str INSPER
institution INSPER
reponame_str Biblioteca Digital de Teses e Dissertações do INSPER
collection Biblioteca Digital de Teses e Dissertações do INSPER
repository.name.fl_str_mv Biblioteca Digital de Teses e Dissertações do INSPER - Instituição de Ensino Superior e de Pesquisa (INSPER)
repository.mail.fl_str_mv biblioteca@insper.edu.br ||
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