Fundos especializados versus fundos diversificados: análise de desempenho dos fundos de investimento imobiliários no Brasil (2011 – 2018)

• Autor(a) principal: Teixeira, Odilon Ferraroni
• Data de Publicação: 2019
• Tipo de documento: Tese
• Idioma: por
• Título da fonte: Biblioteca Digital de Teses e Dissertações do Mackenzie
• Texto Completo: http://dspace.mackenzie.br/handle/10899/23318
• topic: fundo de investimento imobiliário; REIT; risco e performance; CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::ADMINISTRACAO DE EMPRESAS

In addition to representing a source of funding for entrepreneurs that wish to invest in the real estate sector, Real Estate Investment Funds (FIIs) are a relevant investment alternative for physical persons, mainly due to the possibility of a tax benefit. The objective of this study was to analyze the performance of real estate investment funds in Brazil, comprising the impact of strategies for specialized investment in a single asset and the diversification of portfolios, as well as the effectiveness of agency conflict mitigation structures, such as performance fee. In addition, the study verified the existence of information asymmetry between the market value of the fund’s share and its net asset value per share. The sample comprised data from 74 FIIs listed in the BM&FBovespa IFIX Index, in September 2017, and considered data since IFIX creation. To check the hypotheses, we performed regression tests with Ordinary Least Squares (OLS) method, through Stata software, and the analyses covered the following periods: from January 2011 to August 2018, and from March 2014 to August 2018, with data obtained from Bloomberg, B3 and CVM database. The study found that real estate investment funds in Brazil do not follow the concept established in finance theory, in which diversified funds manage to minimize investment risk by diversifying its assets, since diversified funds showed higher volatility and higher return than specialized funds. This finding remains in the analysis of funds with the same type of asset, except in the logistic’s sector where specialized funds have, on average, higher returns and higher volatility than diversified funds with the same type of asset. Analyzing the risk and return relationship of the funds, real estate funds investing in securities showed the best risk and return ratio from January 2011 to August 2018 and specialized funds showed the best risk and return ratio from March 2014 to August 2018. Additionally, it was not possible to obtain statistical significance to evaluate the contribution of the performance rate to the return of the funds, and the performance rate was only positive for the return of diversified real estate funds. In addition, we observed that the variation of net asset value by share was only statistically significant for real estate funds that invest in securities, in the two periods and for diversified funds of corporate slabs, when the regression considered the type of asset, which indicates the existence of information asymmetry.