Agency conflicts, compensation and clientele type, and survivorship bias in brazilian stock funds

Detalhes bibliográficos
Autor(a) principal: Sanematsu, Flávio C.
Data de Publicação: 2016
Outros Autores: Leal, Ricardo Pereira Câmara
Tipo de documento: Relatório
Idioma: eng
Título da fonte: Repositório Institucional da UFRJ
Texto Completo: http://hdl.handle.net/11422/12334
Resumo: This article investigates the survivorship bias and the behavior of equity mutual funds at calendar semester ends in Brazil between 2004 and 2013. Results indicate that fund performance is associated with its survivorship, but other factors may play an important role in keeping a fund in activity. Results also suggest that the sampled funds present positive abnormal returns on the last trading day of calendar semesters, followed by negative abnormal returns on the subsequent day. Funds oriented to retail investors and those that charge incentive fees are more likely to display these abnormal return behavior. There seems to be evidence of portfolio pumping.
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spelling Agency conflicts, compensation and clientele type, and survivorship bias in brazilian stock fundsFinançasInvestimentosFundos de açõesCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAOThis article investigates the survivorship bias and the behavior of equity mutual funds at calendar semester ends in Brazil between 2004 and 2013. Results indicate that fund performance is associated with its survivorship, but other factors may play an important role in keeping a fund in activity. Results also suggest that the sampled funds present positive abnormal returns on the last trading day of calendar semesters, followed by negative abnormal returns on the subsequent day. Funds oriented to retail investors and those that charge incentive fees are more likely to display these abnormal return behavior. There seems to be evidence of portfolio pumping.Este artigo investiga o viés de sobrevivência e o comportamento de fundos de investimento em ações (FIA) ao final dos semestres do ano calendário no Brasil entre 2004 e 2013. Os resultados indicam que o desempenho dos FIA está associado com sua sobrevivência, mas que outros fatores podem ter papel importante para manter um FIA em atividade. Os resultados também sugerem que os FIA da amostra apresentam retornos anormais positivos no último dia de negociações dos semestres do ano calendário, seguidos de retornos anormais negativos no dia de negociações seguinte. FIA voltados para clientes de varejo e os que cobram taxa de performance apresentam maior probabilidade de exibir este padrão de retornos anormais. Parece haver evidência de ‘portfolio pumping’.Universidade Federal do Rio de JaneiroBrasilInstituto COPPEAD de AdministraçãoUFRJ2020-05-29T23:18:54Z2023-12-21T03:07:08Z2016info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/reportSANEMATSU, Flávio C.; LEAL, Ricardo Pereira Câmara. Agency conflicts, compensation and clientele type, and survivorship bias in brazilian stock funds. Rio de Janeiro: UFRJ, 2016. (Relatórios COPPEAD, 427).97885750811431518-3335http://hdl.handle.net/11422/12334engRelatórios COPPEADSanematsu, Flávio C.Leal, Ricardo Pereira Câmarainfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFRJinstname:Universidade Federal do Rio de Janeiro (UFRJ)instacron:UFRJ2023-12-21T03:07:08Zoai:pantheon.ufrj.br:11422/12334Repositório InstitucionalPUBhttp://www.pantheon.ufrj.br/oai/requestpantheon@sibi.ufrj.bropendoar:2023-12-21T03:07:08Repositório Institucional da UFRJ - Universidade Federal do Rio de Janeiro (UFRJ)false
dc.title.none.fl_str_mv Agency conflicts, compensation and clientele type, and survivorship bias in brazilian stock funds
title Agency conflicts, compensation and clientele type, and survivorship bias in brazilian stock funds
spellingShingle Agency conflicts, compensation and clientele type, and survivorship bias in brazilian stock funds
Sanematsu, Flávio C.
Finanças
Investimentos
Fundos de ações
CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
title_short Agency conflicts, compensation and clientele type, and survivorship bias in brazilian stock funds
title_full Agency conflicts, compensation and clientele type, and survivorship bias in brazilian stock funds
title_fullStr Agency conflicts, compensation and clientele type, and survivorship bias in brazilian stock funds
title_full_unstemmed Agency conflicts, compensation and clientele type, and survivorship bias in brazilian stock funds
title_sort Agency conflicts, compensation and clientele type, and survivorship bias in brazilian stock funds
author Sanematsu, Flávio C.
author_facet Sanematsu, Flávio C.
Leal, Ricardo Pereira Câmara
author_role author
author2 Leal, Ricardo Pereira Câmara
author2_role author
dc.contributor.author.fl_str_mv Sanematsu, Flávio C.
Leal, Ricardo Pereira Câmara
dc.subject.por.fl_str_mv Finanças
Investimentos
Fundos de ações
CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
topic Finanças
Investimentos
Fundos de ações
CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
description This article investigates the survivorship bias and the behavior of equity mutual funds at calendar semester ends in Brazil between 2004 and 2013. Results indicate that fund performance is associated with its survivorship, but other factors may play an important role in keeping a fund in activity. Results also suggest that the sampled funds present positive abnormal returns on the last trading day of calendar semesters, followed by negative abnormal returns on the subsequent day. Funds oriented to retail investors and those that charge incentive fees are more likely to display these abnormal return behavior. There seems to be evidence of portfolio pumping.
publishDate 2016
dc.date.none.fl_str_mv 2016
2020-05-29T23:18:54Z
2023-12-21T03:07:08Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/report
format report
status_str publishedVersion
dc.identifier.uri.fl_str_mv SANEMATSU, Flávio C.; LEAL, Ricardo Pereira Câmara. Agency conflicts, compensation and clientele type, and survivorship bias in brazilian stock funds. Rio de Janeiro: UFRJ, 2016. (Relatórios COPPEAD, 427).
9788575081143
1518-3335
http://hdl.handle.net/11422/12334
identifier_str_mv SANEMATSU, Flávio C.; LEAL, Ricardo Pereira Câmara. Agency conflicts, compensation and clientele type, and survivorship bias in brazilian stock funds. Rio de Janeiro: UFRJ, 2016. (Relatórios COPPEAD, 427).
9788575081143
1518-3335
url http://hdl.handle.net/11422/12334
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Relatórios COPPEAD
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Universidade Federal do Rio de Janeiro
Brasil
Instituto COPPEAD de Administração
UFRJ
publisher.none.fl_str_mv Universidade Federal do Rio de Janeiro
Brasil
Instituto COPPEAD de Administração
UFRJ
dc.source.none.fl_str_mv reponame:Repositório Institucional da UFRJ
instname:Universidade Federal do Rio de Janeiro (UFRJ)
instacron:UFRJ
instname_str Universidade Federal do Rio de Janeiro (UFRJ)
instacron_str UFRJ
institution UFRJ
reponame_str Repositório Institucional da UFRJ
collection Repositório Institucional da UFRJ
repository.name.fl_str_mv Repositório Institucional da UFRJ - Universidade Federal do Rio de Janeiro (UFRJ)
repository.mail.fl_str_mv pantheon@sibi.ufrj.br
_version_ 1815456007384465408

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