DOES THE NATURE OF CAPITAL INFLUENCE THE PERFORMANCE OF FIXED INCOME MUTUAL FUND MANAGEMENT?
Autor(a) principal: | |
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Data de Publicação: | 2010 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | ConTexto |
Texto Completo: | https://seer.ufrgs.br/index.php/ConTexto/article/view/16053 |
Resumo: | This paper investigates the performance of the 17 biggest mutual fund management firms inBrazil during the period 1997-2003 using daily data. The method of panel data analysis is employed. The hypothesis that fund management firms obtain the same risk-return relation in their portfolios independently from the nature of their capital is rejected. Private and foreign firms present a superior performance than state-owned ones. Similarly, the risk-return relation of the portfolios managed by state-owned firms is not constant in the periods before and after the introduction of mark to market valuation. After such institutional change, state-owned fund management firms present a remarkable improvement in their performance, while private and foreign firms do not present any change in their portfolios performance. These results underline the importance of regulation in the measurement of mutual fund performance. |
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DOES THE NATURE OF CAPITAL INFLUENCE THE PERFORMANCE OF FIXED INCOME MUTUAL FUND MANAGEMENT?A NATUREZA DO CAPITAL INFLUENCIA O DESEMPENHO DAS ADMINISTRADORAS DE FUNDOS DE INVESTIMENTO DE RENDA FIXA?Fundos mútuosDesempenhoRisco e retornoMarcação a mercadoMutual fundsPerformanceRisk and returnMark to marketThis paper investigates the performance of the 17 biggest mutual fund management firms inBrazil during the period 1997-2003 using daily data. The method of panel data analysis is employed. The hypothesis that fund management firms obtain the same risk-return relation in their portfolios independently from the nature of their capital is rejected. Private and foreign firms present a superior performance than state-owned ones. Similarly, the risk-return relation of the portfolios managed by state-owned firms is not constant in the periods before and after the introduction of mark to market valuation. After such institutional change, state-owned fund management firms present a remarkable improvement in their performance, while private and foreign firms do not present any change in their portfolios performance. These results underline the importance of regulation in the measurement of mutual fund performance.Este trabalho verificou o desempenho das 17 maiores administradoras de fundos no período 1997-2003 com dados diários. O método empregado é a análise de dados em painel. A hipótese de que as administradoras obtêm igual relação risco-retorno em suas carteiras, independente da natureza do seu capital, é rejeitada. As administradoras privadas nacionais e estrangeiras apresentam um desempenho superior às administradoras estatais. Da mesma forma, a relação risco-retorno, obtida pelas administradoras de fundos estatais, não é constante no período anterior e posterior à marcação a mercado. Após a introdução da métrica de marcação a mercado, o desempenho das administradoras estatais apresenta melhora significativa, enquanto as administradoras privadas e estrangeiras não apresentam mudança em seu desempenho. Esses resultados salientam a importância das normas de regulação da indústria de fundos de investimento para a avaliação do desempenho das administradoras.UFRGS2010-10-20info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionAvaliado por Paresapplication/pdfhttps://seer.ufrgs.br/index.php/ConTexto/article/view/16053ConTexto - Contabilidade em Texto; v. 10 n. 18 (2010): 2º semestre 2010; 87-962175-87511676-6016reponame:ConTextoinstname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSporhttps://seer.ufrgs.br/index.php/ConTexto/article/view/16053/pdfBraga, AlexandreTerra, Paulo Renato SoaresBraga, Daniele Gonçalvesinfo:eu-repo/semantics/openAccess2013-10-15T17:09:02Zoai:seer.ufrgs.br:article/16053Revistahttps://www.seer.ufrgs.br/index.php/ConTexto/indexPUBhttpw://www.seer.ufrgs.br/index.php/ConTexto/oaifernanda.momo@ufrgs.br||contexto@ufrgs.br2175-87511676-6016opendoar:2013-10-15T17:09:02ConTexto - Universidade Federal do Rio Grande do Sul (UFRGS)false |
dc.title.none.fl_str_mv |
DOES THE NATURE OF CAPITAL INFLUENCE THE PERFORMANCE OF FIXED INCOME MUTUAL FUND MANAGEMENT? A NATUREZA DO CAPITAL INFLUENCIA O DESEMPENHO DAS ADMINISTRADORAS DE FUNDOS DE INVESTIMENTO DE RENDA FIXA? |
title |
DOES THE NATURE OF CAPITAL INFLUENCE THE PERFORMANCE OF FIXED INCOME MUTUAL FUND MANAGEMENT? |
spellingShingle |
DOES THE NATURE OF CAPITAL INFLUENCE THE PERFORMANCE OF FIXED INCOME MUTUAL FUND MANAGEMENT? Braga, Alexandre Fundos mútuos Desempenho Risco e retorno Marcação a mercado Mutual funds Performance Risk and return Mark to market |
title_short |
DOES THE NATURE OF CAPITAL INFLUENCE THE PERFORMANCE OF FIXED INCOME MUTUAL FUND MANAGEMENT? |
title_full |
DOES THE NATURE OF CAPITAL INFLUENCE THE PERFORMANCE OF FIXED INCOME MUTUAL FUND MANAGEMENT? |
title_fullStr |
DOES THE NATURE OF CAPITAL INFLUENCE THE PERFORMANCE OF FIXED INCOME MUTUAL FUND MANAGEMENT? |
title_full_unstemmed |
DOES THE NATURE OF CAPITAL INFLUENCE THE PERFORMANCE OF FIXED INCOME MUTUAL FUND MANAGEMENT? |
title_sort |
DOES THE NATURE OF CAPITAL INFLUENCE THE PERFORMANCE OF FIXED INCOME MUTUAL FUND MANAGEMENT? |
author |
Braga, Alexandre |
author_facet |
Braga, Alexandre Terra, Paulo Renato Soares Braga, Daniele Gonçalves |
author_role |
author |
author2 |
Terra, Paulo Renato Soares Braga, Daniele Gonçalves |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Braga, Alexandre Terra, Paulo Renato Soares Braga, Daniele Gonçalves |
dc.subject.por.fl_str_mv |
Fundos mútuos Desempenho Risco e retorno Marcação a mercado Mutual funds Performance Risk and return Mark to market |
topic |
Fundos mútuos Desempenho Risco e retorno Marcação a mercado Mutual funds Performance Risk and return Mark to market |
description |
This paper investigates the performance of the 17 biggest mutual fund management firms inBrazil during the period 1997-2003 using daily data. The method of panel data analysis is employed. The hypothesis that fund management firms obtain the same risk-return relation in their portfolios independently from the nature of their capital is rejected. Private and foreign firms present a superior performance than state-owned ones. Similarly, the risk-return relation of the portfolios managed by state-owned firms is not constant in the periods before and after the introduction of mark to market valuation. After such institutional change, state-owned fund management firms present a remarkable improvement in their performance, while private and foreign firms do not present any change in their portfolios performance. These results underline the importance of regulation in the measurement of mutual fund performance. |
publishDate |
2010 |
dc.date.none.fl_str_mv |
2010-10-20 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Avaliado por Pares |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://seer.ufrgs.br/index.php/ConTexto/article/view/16053 |
url |
https://seer.ufrgs.br/index.php/ConTexto/article/view/16053 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://seer.ufrgs.br/index.php/ConTexto/article/view/16053/pdf |
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 |
UFRGS |
publisher.none.fl_str_mv |
UFRGS |
dc.source.none.fl_str_mv |
ConTexto - Contabilidade em Texto; v. 10 n. 18 (2010): 2º semestre 2010; 87-96 2175-8751 1676-6016 reponame:ConTexto instname:Universidade Federal do Rio Grande do Sul (UFRGS) instacron:UFRGS |
instname_str |
Universidade Federal do Rio Grande do Sul (UFRGS) |
instacron_str |
UFRGS |
institution |
UFRGS |
reponame_str |
ConTexto |
collection |
ConTexto |
repository.name.fl_str_mv |
ConTexto - Universidade Federal do Rio Grande do Sul (UFRGS) |
repository.mail.fl_str_mv |
fernanda.momo@ufrgs.br||contexto@ufrgs.br |
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1799766349300367360 |