Mutual funds investment holdings in brazil: incentives, management and convergence

Detalhes bibliográficos
Autor(a) principal: Ana Balbina Gomes Silva
Data de Publicação: 2011
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Biblioteca Digital de Teses e Dissertações da UFC
Texto Completo: http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=9545
Resumo: This article discusses the convergence patterns in time series of real accumulated return on a panel containing 68 stock mutual funds in Brazil, from January 1998 to June 2007, using the semiparametric methodology developed by Phillips and Sul (2007). In despite of the classical portfolio theory and the characteristics of this relevant market â high levels of regulation, transparency and informational efficiency and low transaction costs â, we can evidence a wide heterogeneous behavior, with four convergence clubs, which have transitional dynamics and very specific composition. A private financial institution as the manager, the incentives related to the lower administrative fees and performance fees and the relevance of riskadjusted return measured by different risk metrics are able to differ between a looser and a winner fund, influencing them to pursue an active strategies capable to âbeat the marketâ. All these evidences are corroborated when in an aggregated analysis, where we construct equal-weighted portfolios formed using the funds of each club.
id UFC_137e43d4c2ea8e45b56c39b40fe4f0ac
oai_identifier_str oai:www.teses.ufc.br:6570
network_acronym_str UFC
network_name_str Biblioteca Digital de Teses e Dissertações da UFC
spelling info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisMutual funds investment holdings in brazil: incentives, management and convergenceFundos mÃtuos de investimento em aÃÃes no brasil: incentivos, gestÃo e convergÃncia2011-02-25Paulo RogÃrio Faustino Matos00000000084http://lattes.cnpq.br/0288522400109962Jair Andrade de Araujo00978165748http://buscatextual.cnpq.br/buscatextual/visualizacv.jsp?id=K4707501D0Marcelo Miranda de Melo0007000003156912757391Ana Balbina Gomes SilvaUniversidade Federal do CearÃPrograma de PÃs-GraduaÃÃo em Economia - CAENUFCBRCIENCIAS SOCIAIS APLICADASThis article discusses the convergence patterns in time series of real accumulated return on a panel containing 68 stock mutual funds in Brazil, from January 1998 to June 2007, using the semiparametric methodology developed by Phillips and Sul (2007). In despite of the classical portfolio theory and the characteristics of this relevant market â high levels of regulation, transparency and informational efficiency and low transaction costs â, we can evidence a wide heterogeneous behavior, with four convergence clubs, which have transitional dynamics and very specific composition. A private financial institution as the manager, the incentives related to the lower administrative fees and performance fees and the relevance of riskadjusted return measured by different risk metrics are able to differ between a looser and a winner fund, influencing them to pursue an active strategies capable to âbeat the marketâ. All these evidences are corroborated when in an aggregated analysis, where we construct equal-weighted portfolios formed using the funds of each club.Este estudo analisa os padrÃes de convergÃncia em sÃries temporais de ganho real acumulado de um painel contendo 68 fundos de investimento em aÃÃes no Brasil, de janeiro de 1998 e junho de 2007, a partir do uso da metodologia semiparamÃtrica de Phillips e Sul (2007). Contrariando a teoria de clÃssica de carteiras e as caracterÃsticas deste relevante mercado â elevados nÃveis de regulaÃÃo, transparÃncia e eficiÃncia informacional e baixos custos de transaÃÃo â, evidenciase um comportamento fortemente heterogÃneo, com a formaÃÃo de quatro clubes de convergÃncia, os quais possuem dinÃmicas de transiÃÃo e composiÃÃo bastante especÃficas. A natureza privada da pessoa jurÃdica gestora, os incentivos associados à cobranÃa de baixas taxas administrativas, alÃm de taxas de performance, e a Ãnfase nos ganhos compensados por diferentes mÃtricas de risco diferenciam os fundos loosers dos winners, influenciando estes a optarem por estratÃgias ativas capazes de obter ganhos acumulados maiores que os de mercado. Todas estas evidÃncias sÃo corroboradas quando da anÃlise mais agregada a partir dos portfolios equal-weighted formados a partir dos fundos de cada clube.nÃo hÃhttp://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=9545application/pdfinfo:eu-repo/semantics/openAccessporreponame:Biblioteca Digital de Teses e Dissertações da UFCinstname:Universidade Federal do Cearáinstacron:UFC2019-01-21T11:22:38Zmail@mail.com -
dc.title.en.fl_str_mv Mutual funds investment holdings in brazil: incentives, management and convergence
dc.title.alternative.pt.fl_str_mv Fundos mÃtuos de investimento em aÃÃes no brasil: incentivos, gestÃo e convergÃncia
title Mutual funds investment holdings in brazil: incentives, management and convergence
spellingShingle Mutual funds investment holdings in brazil: incentives, management and convergence
Ana Balbina Gomes Silva
CIENCIAS SOCIAIS APLICADAS
title_short Mutual funds investment holdings in brazil: incentives, management and convergence
title_full Mutual funds investment holdings in brazil: incentives, management and convergence
title_fullStr Mutual funds investment holdings in brazil: incentives, management and convergence
title_full_unstemmed Mutual funds investment holdings in brazil: incentives, management and convergence
title_sort Mutual funds investment holdings in brazil: incentives, management and convergence
author Ana Balbina Gomes Silva
author_facet Ana Balbina Gomes Silva
author_role author
dc.contributor.advisor1.fl_str_mv Paulo RogÃrio Faustino Matos
dc.contributor.advisor1ID.fl_str_mv 00000000084
dc.contributor.advisor1Lattes.fl_str_mv http://lattes.cnpq.br/0288522400109962
dc.contributor.referee1.fl_str_mv Jair Andrade de Araujo
dc.contributor.referee1ID.fl_str_mv 00978165748
dc.contributor.referee1Lattes.fl_str_mv http://buscatextual.cnpq.br/buscatextual/visualizacv.jsp?id=K4707501D0
dc.contributor.referee2.fl_str_mv Marcelo Miranda de Melo
dc.contributor.referee2ID.fl_str_mv 00070000031
dc.contributor.authorID.fl_str_mv 56912757391
dc.contributor.author.fl_str_mv Ana Balbina Gomes Silva
contributor_str_mv Paulo RogÃrio Faustino Matos
Jair Andrade de Araujo
Marcelo Miranda de Melo
dc.subject.cnpq.fl_str_mv CIENCIAS SOCIAIS APLICADAS
topic CIENCIAS SOCIAIS APLICADAS
dc.description.sponsorship.fl_txt_mv nÃo hÃ
dc.description.abstract.por.fl_txt_mv This article discusses the convergence patterns in time series of real accumulated return on a panel containing 68 stock mutual funds in Brazil, from January 1998 to June 2007, using the semiparametric methodology developed by Phillips and Sul (2007). In despite of the classical portfolio theory and the characteristics of this relevant market â high levels of regulation, transparency and informational efficiency and low transaction costs â, we can evidence a wide heterogeneous behavior, with four convergence clubs, which have transitional dynamics and very specific composition. A private financial institution as the manager, the incentives related to the lower administrative fees and performance fees and the relevance of riskadjusted return measured by different risk metrics are able to differ between a looser and a winner fund, influencing them to pursue an active strategies capable to âbeat the marketâ. All these evidences are corroborated when in an aggregated analysis, where we construct equal-weighted portfolios formed using the funds of each club.
Este estudo analisa os padrÃes de convergÃncia em sÃries temporais de ganho real acumulado de um painel contendo 68 fundos de investimento em aÃÃes no Brasil, de janeiro de 1998 e junho de 2007, a partir do uso da metodologia semiparamÃtrica de Phillips e Sul (2007). Contrariando a teoria de clÃssica de carteiras e as caracterÃsticas deste relevante mercado â elevados nÃveis de regulaÃÃo, transparÃncia e eficiÃncia informacional e baixos custos de transaÃÃo â, evidenciase um comportamento fortemente heterogÃneo, com a formaÃÃo de quatro clubes de convergÃncia, os quais possuem dinÃmicas de transiÃÃo e composiÃÃo bastante especÃficas. A natureza privada da pessoa jurÃdica gestora, os incentivos associados à cobranÃa de baixas taxas administrativas, alÃm de taxas de performance, e a Ãnfase nos ganhos compensados por diferentes mÃtricas de risco diferenciam os fundos loosers dos winners, influenciando estes a optarem por estratÃgias ativas capazes de obter ganhos acumulados maiores que os de mercado. Todas estas evidÃncias sÃo corroboradas quando da anÃlise mais agregada a partir dos portfolios equal-weighted formados a partir dos fundos de cada clube.
description This article discusses the convergence patterns in time series of real accumulated return on a panel containing 68 stock mutual funds in Brazil, from January 1998 to June 2007, using the semiparametric methodology developed by Phillips and Sul (2007). In despite of the classical portfolio theory and the characteristics of this relevant market â high levels of regulation, transparency and informational efficiency and low transaction costs â, we can evidence a wide heterogeneous behavior, with four convergence clubs, which have transitional dynamics and very specific composition. A private financial institution as the manager, the incentives related to the lower administrative fees and performance fees and the relevance of riskadjusted return measured by different risk metrics are able to differ between a looser and a winner fund, influencing them to pursue an active strategies capable to âbeat the marketâ. All these evidences are corroborated when in an aggregated analysis, where we construct equal-weighted portfolios formed using the funds of each club.
publishDate 2011
dc.date.issued.fl_str_mv 2011-02-25
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
status_str publishedVersion
format masterThesis
dc.identifier.uri.fl_str_mv http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=9545
url http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=9545
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 application/pdf
dc.publisher.none.fl_str_mv Universidade Federal do CearÃ
dc.publisher.program.fl_str_mv Programa de PÃs-GraduaÃÃo em Economia - CAEN
dc.publisher.initials.fl_str_mv UFC
dc.publisher.country.fl_str_mv BR
publisher.none.fl_str_mv Universidade Federal do CearÃ
dc.source.none.fl_str_mv reponame:Biblioteca Digital de Teses e Dissertações da UFC
instname:Universidade Federal do Ceará
instacron:UFC
reponame_str Biblioteca Digital de Teses e Dissertações da UFC
collection Biblioteca Digital de Teses e Dissertações da UFC
instname_str Universidade Federal do Ceará
instacron_str UFC
institution UFC
repository.name.fl_str_mv -
repository.mail.fl_str_mv mail@mail.com
_version_ 1643295171996024832

Registros relacionados