THE SMART MONEY EFFECT IN PERIODS OF FINANCIAL CRISIS

Detalhes bibliográficos
Autor(a) principal: Malaquias, Fernanda Francielle de Oliveira
Data de Publicação: 2016
Outros Autores: Malaquias, Rodrigo Fernandes, Souza, Flaida Êmine Alves de, Mamede, Samuel de Paiva Naves, Oliveira, Ana Clara Lacerda de
Tipo de documento: Artigo
Idioma: por
Título da fonte: Revista Ambiente Contábil
Texto Completo: https://periodicos.ufrn.br/ambiente/article/view/6999
Resumo: The aim of this paper was to analyze the Smart Money effect including the control for periods of financial crisis. We analyzed 285 Long and Short funds from Brazil, during the period from January 3rd, 2005 to September 12th, 2013. The quantitative procedures that we employed in this study include multivariate regression, logistic regression, descriptive statistics, and graphic analysis. The main results showed that: i) on average, investors choose the funds with the best past performance to make new investments; ii) on average, funds that received new investments obtained greater performance indicators than the other funds, even for the performance adjusted by risk; and iii) during the periods of crisis, the Smart Money effect was not supported in our sample. Maybe this result is due to the financial restrictions imposed by the market in periods of financial crisis. Thus, we showed evidences that, during periods of financial crisis, investors do not necessarily present skills to choose the funds that will perform better, contradicting the Smart Money effect for periods of financial crisis.Keywords: Smart Money Effect; Investment Funds; Financial Crisis.
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spelling THE SMART MONEY EFFECT IN PERIODS OF FINANCIAL CRISISEL EFECTO SMART MONEY EN PERÍODOS DE CRISIS FINANCIERAO EFEITO SMART MONEY EM PERÍODOS DE CRISE FINANCEIRAThe aim of this paper was to analyze the Smart Money effect including the control for periods of financial crisis. We analyzed 285 Long and Short funds from Brazil, during the period from January 3rd, 2005 to September 12th, 2013. The quantitative procedures that we employed in this study include multivariate regression, logistic regression, descriptive statistics, and graphic analysis. The main results showed that: i) on average, investors choose the funds with the best past performance to make new investments; ii) on average, funds that received new investments obtained greater performance indicators than the other funds, even for the performance adjusted by risk; and iii) during the periods of crisis, the Smart Money effect was not supported in our sample. Maybe this result is due to the financial restrictions imposed by the market in periods of financial crisis. Thus, we showed evidences that, during periods of financial crisis, investors do not necessarily present skills to choose the funds that will perform better, contradicting the Smart Money effect for periods of financial crisis.Keywords: Smart Money Effect; Investment Funds; Financial Crisis.El objetivo principal de este trabajo ha sido analizar el efecto Smart Money considerándose el control por períodos de crisis financiera. Fueron seleccionados 285 fondos Long and Short brasileros, en el período de 03 de enero de 2005 al 12 de septiembre de 2013. Con la aplicación de herramientas cuantitativas como el análisis de regresión multivariable, análisis de regresión logística, complementada con la estadística descriptiva y análisis de gráficos. Los principales resultados mostraron que: i) los accionistas de los fondos de inversiones, en media, escogen los fondos con mejor rendimiento pasado para realizar sus inversiones; ii) los fondos que recibieron captación líquida positiva presentaron, en media, mejores indicadores de rendimientos futura que los demás fondos, incluso para el desempeño ajustado al riesgo; y iii) en períodos de crisis, el efecto Smart Money fue anulado, teniendo inclusive  su señal invertida, tal vez por haber menor relación entre rendimientos pasados y rendimientos futuros cuando se tienen restricciones financieras impuestas por el mercado. Así, fueron presentados indicios de que, en períodos de crisis, los inversionistas, en media, no necesariamente presentan habilidades de selectividad en la elección de los fondos que presentarán el mejor desempeño, contrariando el efecto Smart Money para períodos de restricciones financieras.Palabras-clave: Efecto Smart Money; Fundos de Inversiones; Crisis Financiera.O objetivo principal deste trabalho foi analisar o efeito Smart Money considerando-se o controle por períodos de crise financeira. Foram selecionados 285 fundos Long and Short brasileiros, no período de 03 de janeiro de 2005 a 12 de setembro de 2013. Com a aplicação de ferramentas quantitativas como a análise de regressão multivariada, análise de regressão logística, complementada com a estatística descritiva e análise de gráficos, os principais resultados mostraram que: i) os cotistas dos fundos de investimento, em média, escolhem os fundos com melhor performance passada para realizar seus investimentos; ii) os fundos que receberam captação líquida positiva apresentaram, em média, melhores indicadores de performance futura que os demais fundos, mesmo para a performance ajustada ao risco; e iii) em períodos de crise, o efeito Smart Money foi anulado, tendo inclusive o seu sinal invertido, talvez por haver menor relação entre performance passada e performance futura quando se tem restrições financeiras impostas pelo mercado. Assim, foram apresentados indícios de que, em períodos de crise, os investidores, em média, não necessariamente apresentam habilidades de seletividade na escolha dos fundos que apresentarão a melhor performance, contrariando o efeito Smart Money para períodos de restrições financeiras.Palavras-chave: Efeito Smart Money. Fundos de Investimento. Crise Financeira.Portal de Periódicos Eletrônicos da UFRN2016-01-03info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://periodicos.ufrn.br/ambiente/article/view/699910.21680/2176-9036.2016v8n1ID6999REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte; Vol. 8 No. 1 (2016): Jan./Jun.; 323-342REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte; Vol. 8 Núm. 1 (2016): Jan./Jun.; 323-342REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte - ISSN 2176-9036; v. 8 n. 1 (2016): Jan./Jun.; 323-3422176-903610.21680/2176-9036.2016v8n1reponame:Revista Ambiente Contábilinstname:Universidade Federal do Rio Grande do Norte (UFRN)instacron:UFRNporhttps://periodicos.ufrn.br/ambiente/article/view/6999/6030Copyright (c) 2016 REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte - ISSN 2176-9036info:eu-repo/semantics/openAccessMalaquias, Fernanda Francielle de OliveiraMalaquias, Rodrigo FernandesSouza, Flaida Êmine Alves deMamede, Samuel de Paiva NavesOliveira, Ana Clara Lacerda de2021-11-23T11:15:52Zoai:periodicos.ufrn.br:article/6999Revistahttps://periodicos.ufrn.br/ambientePUBhttps://periodicos.ufrn.br/ambiente/oai||prof.mauriciocsilva@gmail.com2176-90362176-9036opendoar:2021-11-23T11:15:52Revista Ambiente Contábil - Universidade Federal do Rio Grande do Norte (UFRN)false
dc.title.none.fl_str_mv THE SMART MONEY EFFECT IN PERIODS OF FINANCIAL CRISIS
EL EFECTO SMART MONEY EN PERÍODOS DE CRISIS FINANCIERA
O EFEITO SMART MONEY EM PERÍODOS DE CRISE FINANCEIRA
title THE SMART MONEY EFFECT IN PERIODS OF FINANCIAL CRISIS
spellingShingle THE SMART MONEY EFFECT IN PERIODS OF FINANCIAL CRISIS
Malaquias, Fernanda Francielle de Oliveira
title_short THE SMART MONEY EFFECT IN PERIODS OF FINANCIAL CRISIS
title_full THE SMART MONEY EFFECT IN PERIODS OF FINANCIAL CRISIS
title_fullStr THE SMART MONEY EFFECT IN PERIODS OF FINANCIAL CRISIS
title_full_unstemmed THE SMART MONEY EFFECT IN PERIODS OF FINANCIAL CRISIS
title_sort THE SMART MONEY EFFECT IN PERIODS OF FINANCIAL CRISIS
author Malaquias, Fernanda Francielle de Oliveira
author_facet Malaquias, Fernanda Francielle de Oliveira
Malaquias, Rodrigo Fernandes
Souza, Flaida Êmine Alves de
Mamede, Samuel de Paiva Naves
Oliveira, Ana Clara Lacerda de
author_role author
author2 Malaquias, Rodrigo Fernandes
Souza, Flaida Êmine Alves de
Mamede, Samuel de Paiva Naves
Oliveira, Ana Clara Lacerda de
author2_role author
author
author
author
dc.contributor.author.fl_str_mv Malaquias, Fernanda Francielle de Oliveira
Malaquias, Rodrigo Fernandes
Souza, Flaida Êmine Alves de
Mamede, Samuel de Paiva Naves
Oliveira, Ana Clara Lacerda de
description The aim of this paper was to analyze the Smart Money effect including the control for periods of financial crisis. We analyzed 285 Long and Short funds from Brazil, during the period from January 3rd, 2005 to September 12th, 2013. The quantitative procedures that we employed in this study include multivariate regression, logistic regression, descriptive statistics, and graphic analysis. The main results showed that: i) on average, investors choose the funds with the best past performance to make new investments; ii) on average, funds that received new investments obtained greater performance indicators than the other funds, even for the performance adjusted by risk; and iii) during the periods of crisis, the Smart Money effect was not supported in our sample. Maybe this result is due to the financial restrictions imposed by the market in periods of financial crisis. Thus, we showed evidences that, during periods of financial crisis, investors do not necessarily present skills to choose the funds that will perform better, contradicting the Smart Money effect for periods of financial crisis.Keywords: Smart Money Effect; Investment Funds; Financial Crisis.
publishDate 2016
dc.date.none.fl_str_mv 2016-01-03
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://periodicos.ufrn.br/ambiente/article/view/6999
10.21680/2176-9036.2016v8n1ID6999
url https://periodicos.ufrn.br/ambiente/article/view/6999
identifier_str_mv 10.21680/2176-9036.2016v8n1ID6999
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://periodicos.ufrn.br/ambiente/article/view/6999/6030
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 Portal de Periódicos Eletrônicos da UFRN
publisher.none.fl_str_mv Portal de Periódicos Eletrônicos da UFRN
dc.source.none.fl_str_mv REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte; Vol. 8 No. 1 (2016): Jan./Jun.; 323-342
REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte; Vol. 8 Núm. 1 (2016): Jan./Jun.; 323-342
REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte - ISSN 2176-9036; v. 8 n. 1 (2016): Jan./Jun.; 323-342
2176-9036
10.21680/2176-9036.2016v8n1
reponame:Revista Ambiente Contábil
instname:Universidade Federal do Rio Grande do Norte (UFRN)
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instname_str Universidade Federal do Rio Grande do Norte (UFRN)
instacron_str UFRN
institution UFRN
reponame_str Revista Ambiente Contábil
collection Revista Ambiente Contábil
repository.name.fl_str_mv Revista Ambiente Contábil - Universidade Federal do Rio Grande do Norte (UFRN)
repository.mail.fl_str_mv ||prof.mauriciocsilva@gmail.com
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