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Robert Aldo Iquiapazahttp://lattes.cnpq.br/4502340100367919http://lattes.cnpq.br/6211648497528933Leticia Fernandes Pereira2022-08-31T17:54:48Z2022-08-31T17:54:48Z2022-02-22http://hdl.handle.net/1843/447730000-0002-6667-1742Esta pesquisa teve por objetivo analisar a influência da concorrência da indústria de fundos e do sentimento do investidor sobre as taxas de administração dos fundos de investimento no Brasil. Para isso, foi analisada uma amostra de 1290 fundos de ações, das subcategorias “Valor/Crescimento”, “Dividendos”, “Índice Ativo” e “Livres”, de junho de 2010 a dezembro de 2020. Foi utilizado o índice de concentração de Herfindahl-Hirschman como proxy para a concorrência da indústria de fundos. Para o sentimento dos investidores, foram estimadas duas proxies: a primeira foi construída segundo as adaptações de Yoshinaga e Castro Júnior (2012), Xavier e Machado (2017) e Miranda e Machado (2019) ao modelo de Baker e Wurgler (2006); e a segunda foi correspondente ao logaritmo natural do Índice de Confiança do Consumidor (ICC). A metodologia consistiu na elaboração de modelos de regressão que tiveram a taxa de administração como variável explicada e, como variáveis explicativas, as proxies da concorrência e do sentimento do investidor, além de outras variáveis de controle. Primeiramente, foi estimado um modelo de regressão para dados em painel, no qual a taxa de administração foi analisada no seu nível; posteriormente, foi estimado um modelo de regressão Logit/Probit, em que a taxa de administração foi analisada em caráter dicotômico, que se referiu à alteração, ou não, do seu valor em relação ao período anterior. Como resultado, não foi observada significância estatística a 5% para a concorrência da indústria de fundos; e a proxy de sentimento do investidor que utilizou o logaritmo natural do ICC foi significativa a 5% para explicar o valor das taxas de administração (relação positiva) e a sua probabilidade de alteração, principalmente para fixação de taxas mais elevadas.At the aim was to analyze the influence of fund industry competition and sentiment on investment fund management fees in Brazil. We analyzed a sample of 1290 stock funds, from the subcategories “Value/Growth”, “Dividends”, “Active Index” and “Free Portfolio”, from December 2009 to December 2019. We used concentration index of Herfindahl-Hirschman as a proxy for fund industry competition; and for investor sentiment, we estimated two proxies, the first being built according to the model proposed by Baker and Wurgler (2006) and adapted by Yoshinaga and Castro Júnior (2012), Xavier and Machado (2017) and Miranda and Machado (2019); and the second one corresponded to the natural logarithm of the Consumer Confidence Index (ICC). The methodology consisted of the elaboration of regression models considering the management fee was as dependent variable and, as explanatory variables, the proxies of competition and investor sentiment, in addition to other control variables. First, we estimated a regression model for panel data in which the administration fee was analyzed at its level; and then we estimated a Logit/Probit regression model in which the administration fee was a dichotomous variable, which referred to the change, or not, of its value in relation to the previous period. As a result, we could not observe statistical significance at 5% level for fund industry competition; and the investor sentiment proxy that used the natural logarithm of the ICC was statistically significant at 5% level to explain the value of management fees (positive relationship) and their probability of change, mainly for setting higher fees.CNPq - Conselho Nacional de Desenvolvimento Científico e TecnológicoporUniversidade Federal de Minas GeraisPrograma de Pós-Graduação em AdministraçãoUFMGBrasilFACE - FACULDADE DE CIENCIAS ECONOMICASFundos de investimentosMercado financeiroAdministraçãoFundos de investimentoTaxas de administraçãoConcorrênciaSentimento dos investidoresTaxas de administração de fundos de investimento no mercado brasileiro: o papel da concorrência da indústria e do sentimento do investidorinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFMGinstname:Universidade Federal de Minas Gerais (UFMG)instacron:UFMGORIGINALTaxasDeAdministracaoDeFundosDeInvestimentoNoMercadoBrasileiro-oPapelDaConcorrenciaDaIndustriaEDoSentimentoDoInvestidor.pdfTaxasDeAdministracaoDeFundosDeInvestimentoNoMercadoBrasileiro-oPapelDaConcorrenciaDaIndustriaEDoSentimentoDoInvestidor.pdfapplication/pdf1558036https://repositorio.ufmg.br/bitstream/1843/44773/1/TaxasDeAdministracaoDeFundosDeInvestimentoNoMercadoBrasileiro-oPapelDaConcorrenciaDaIndustriaEDoSentimentoDoInvestidor.pdf2bc1f553d67b8eeff34a08aaff541b6aMD51LICENSElicense.txtlicense.txttext/plain; charset=utf-82118https://repositorio.ufmg.br/bitstream/1843/44773/2/license.txtcda590c95a0b51b4d15f60c9642ca272MD521843/447732022-08-31 14:54:48.867oai:repositorio.ufmg.br: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ório InstitucionalPUBhttps://repositorio.ufmg.br/oaiopendoar:2022-08-31T17:54:48Repositório Institucional da UFMG - Universidade Federal de Minas Gerais (UFMG)false
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