Este trabalho analisa o comportamento dos fundos de investimento em ações (FIAs) nos encerramentos de semestre. Os resultados indicam que os FIAs apresentam retornos anormais positivos no encerramento do semestre, acompanhados de retorno anormal negativo no dia seguinte ao encerramento do semestre. Os retornos anormais estão associados a uma baixa capacidade de monitoramento do comportamento do gestor. Fundos destinados ao público geral são mais propensos a apresentarem retornos anormais nessas datas. As evidências da associação dos retornos anormais com a remuneração atrelada ao desempenho não foram tão claras quanto a separação pela clientela dos fundos.Palavras-chave: Problemas de Agência; Retornos Anormais; Fundos de Investimento. AbstractThis paper is aimed at the investigation of the behavior of equity mutual funds at semester-ends. Results indicate that Brazilian equity funds present positive abnormal returns on the last trading day of semesters, followed by negative abnormal returns at the subsequent day. Abnormal returns are associated with poor monitoring skill of managers' behavior. Retail funds are more likely to present abnormal returns at semester-ends. Evidence of abnormal returns associated with performance-based compensation is not as strong as the one provided by the distinction of funds' clientele.
This work investigates the relationships between Brazilian monetary policy and macroeconomic variables covering only the São Paulo Metropolitan Area (SPMA) during the inflation targeting regime (2000:01 to 2005:08). This investigation seeks to comprehend if, given the differences between the B razilian and SPMA economy, the dynamic of macroeconomic indicators of this region complies with the trajectory expected by the monetary authority when it formulates its policy. Based on vector autoregressive (VAR) estimations, it was found pieces of evidence that economic activity in SPMA is sensitive to shocks to monetary policy. During the inflation targeting regime, current inflation-rates dynamic, namely IPC-FIPE and IPCA-RMSP, does not seem to be affected by monetary policy, but 12-month expected inflation-rates seem to be responsive to shocks to monetary policy. On the other hand, national monetary policy does not seem responsive to shocks to economic activity of SPMA, but it is sensitive to inflationary shocks to price indexes of SPMA. Regarding the exchange-rate pass-through, it was found that headline price indexes absorb exchange-rates shocks more rapidly than market price indexes. However, the latter respond to exchange-rates shocks more smoothly than the former.
This article investigates the behavior of equity mutual funds at calendar semester ends in Brazil between 2004 and 2013. Results 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 this abnormal return behavior. Exclusive funds present the smallest incidence of abnormal returns. There seems to be evidence of portfolio pumping
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