O principal objetivo deste trabalho foi analisar o desempenho dos fundos multimercados brasileiros com uma medida alternativa, relacionada ao trabalho de Amin e Kat (2003). Essa medida pode ser considerada como uma alternativa não paramétrica para avaliar a performance de fundos de investimento, especialmente aqueles que têm retornos com distribuição de frequência diferente da normal. Para garantir maior confiabilidade à estimativa da performance dos fundos, foram criados intervalos de confiança para a medida de Amin e Kat (2003) por meio da técnica de bootstrap, o que pode ser considerado uma contribuição metodológica para novas pesquisas a serem desenvolvidas na área. Com dados de 107 fundos, no período de janeiro a agosto de 2011, os principais resultados do estudo mostraram que, para a performance líquida, não há evidência de geração de valor extraordinário pelos fundos, o que é coerente com a hipótese de eficiência de mercado. Já para a performance bruta, ou seja, a performance antes de serem deduzidas as taxas de administração e performance, há indícios de valor extraordinário agregado em cenários econômicos fora de fortes evidências de restrições financeiras. Em outras palavras, a gestão ativa, no Brasil, pode até agregar valor extraordinário, contudo, em linha com Jensen (1978), Fama (1991) e Castro e Minardi (2009), os custos necessários para a obtenção desse retorno comprometem-no, e, com isso, a rentabilidade líquida percebida pelos cotistas fica prejudicada. No estudo, também se evidenciou que períodos de crise impactaram significativamente a performance dos fundos da amostra e moderaram a relação entre a performance e seus determinantes, o que é uma das principais contribuições do trabalho. Esses achados podem significar importantes contribuições para estudos sobre fundos de investimentos, uma vez que resultados similares para o efeito moderador não foram identificados em trabalhos anteriores.
The purpose of this paper is to identify determinants for foreign portfolio investment in the Brazilian stock market. From the viewpoint of the investors who have already allocated their resources in Brazilian Market, it was found that periods of greater local liquidity and lower correlation with developed markets promoted their activities (buys and sales); the Brazilian country risk (EMBI Br), domestic and external interest rates and recent past performance of the domestic market also showed as significant determinants for additional buys. For net inflows into the local stock market, as robust determinants were found the performance of developed markets and the domestic prime interest rate; the development of BM&F-Bovespa Stock Exchange, crisis environments, the recent Brazilian investment grade and the local diversification (in relation to a developed market) would be particularly relevant to the dynamics of foreign portfolio inflows in Brazil.
Investimentos de risco pressupõem que, em média, os ganhos sejam superiores aos obtidos por ativos livres de risco, diferencial este tradicionalmente denominado prêmio de mercado; sua importância é indiscutível para investidores nas decisões quanto à exposição aos riscos da Bolsa, para gestores de empresa, ao selecionar projetos, ou ainda para órgãos governamentais na regulação de concessionárias e na supervisão dos fundos de pensão; tal aplicabilidade demanda, entretanto, valores confiáveis para uso nos modelos. No presente trabalho são analisadas estimativas segundo três abordagens distintas, compreendendo o período de janeiro de 1996 a dezembro de 2008: na histórica, os valores encontrados variaram de 5% a 7% para os índices IBrX e FGV-100; na prospectiva (que reflete prêmios esperados) obteve-se 3,35%; por fim, na indireta (ou por modelos de mercado), encontraram-se prêmios negativos, algo inesperado porém significativo.
According to the theory of the Efficiency Market Hypothesis (EMH), prices in the market should reflect all the information to the point where the costs of acting based on this information does not exceed its benefits (Jensen, 1978; Fama, 1991). In this context, the aim of this paper was to analyze and if past and publicly information may be useful to obtain extraordinary returns in the segment of Brazilian multimarket funds. With data regarding 831 multimarket funds, segregated into two samples (551 funds between October/2007 and September/2011, and 280 funds between October/2009 and September/2011), the main results showed that, on average, the funds did not add extraordinary value, but the data that are publicly available of the funds were related to their performance. The last result contradicts the EMH and leads to questions such as: do investors monitor variables related to fund performance?
As stated by the New Institutional Economics theory, transaction costs play a relevant role in economics and, according to the extent of such costs, agents make investment decisions. Actually, transaction costs may represent a disincentive to entrepreneurship. This work aims to verify whether transaction costs are related to investment rate and foreign direct investment rate (FDI) in different business environments. The results suggest that foreign investors do not have precise information about other countries as domestic investors do; as it is observed, only the relation between transaction costs and investment rate is significant. Furthermore, there is evidence that the business environments of BRIC countries are less developed when compared to business environments of other countries in the study.keywords Transaction costs, foreign direct investment, investment rate, BRICs, business environment. RESUMO De acordo com a teoria desenvolvida pela Nova Economia Institucional, os custos de transação têm um papel relevante na economia e de acordo com a extensão desses custos os agentes tomam decisões de investimento. Dessa forma, os custos de transação também representam um desestímulo ao empreendedorismo. Este trabalho tem como objetivo verificar se os custos de transação têm relação com variáveis como a taxa de investimento e o investimento direto estrangeiro (IDE). Os resultados encontrados sugerem que os investidores estrangeiros não possuem informações acuradas sobre os outros países, ao contrário do que ocorre com os investidores nacionais. Dessa forma, os custos de transação só são significativos quando a variável dependente analisada é a taxa de investimento. Além disso, há evidência de que os ambientes de negócios observados nos países do grupo BRIC estão menos desenvolvidos em comparação com outros países presentes no estudo. PALAVRAS-ChAVE Custos de transação, investimento direto estrangeiro, taxa de investimento, BRICs, ambiente de negócios. RESUMEN Como se ha señalado por la teoría de la Nueva Economía Institucional, los costos de transacción desempeñan un papel relevante en la economía y de acuerdo con la extensión de estos costos los agentes toman decisiones de inversión. Así pues, los costos de transacción también representan un desincentivo a la iniciativa empresarial. Este estudio pretende verificar si los costos de transacción tienen relación con variables como la tasa de inversión y la tasa de inversión extranjera directa (IED). Los resultados sugieren que los inversores extranjeros no tienen información precisa
Purpose This study aims to investigate the association of demographic characteristics, market conditions and risk taking with the disposition effect using data on Brazilian individual investors. Design/methodology/approach This study uses a unique data set with monthly data from June 2007 to February 2017 provided by one of the largest asset management firms in Brazil. This paper computes the proportion of gains realized and the proportion of losses realized to see if investors incur the disposition effect. This paper then performs logistic regressions to verify the association between investors’ disposition effects and demographic and portfolio characteristics. This paper analyses the prevalence of cognitive biases depending on market conditions (bull or bear markets) and include regressions by asset class as robustness checks. Findings This paper finds evidence that risk averse investors are more prone to the disposition effect, male subjects are less prone to this cognitive bias and age is not associated with the disposition effect. This paper observes that the tendency to incur the disposition effect decreases during bull markets but increases during bear markets. Also, this paper finds that sophisticated investors are more prone to selling winning assets and holding on to losses. Research limitations/implications First, paper gains and losses are based on the highest and lowest prices of the month and not on the price at the moment the sale occurred. Second, this paper had access only to end-of-month information, not to actual daily trading records. Third, because the data set relates to individual investors who trade investment funds, this paper cannot determine whether firm size is associated with the disposition effect. Fourth, age may not necessarily be a proxy for investor experience, so one should interpret the lack of significance for age in terms of generational differences. Practical implications This paper demonstrates that the disposition effect is prevalent even among wealthier and more educated investors with delegated asset classes. This paper also presents evidence on the association between demographic characteristics and cognitive biases considering a liquidity-constrained, highly volatile and developing market. Social implications This paper demonstrates that gender is an important characteristic to understand cognitive biases and that investor sophistication may not necessarily be an attenuation factor for the disposition effect in a liquidity-constrained market. Originality/value This is the first study to analyse the role of demographic characteristics and risk taking to explain the disposition effect using real information at the individual level about Brazilian investors. It is also the first to analyse the intensity of cognitive biases during bull and bear markets in the Brazilian economy.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.
hi@scite.ai
334 Leonard St
Brooklyn, NY 11211
Copyright © 2024 scite LLC. All rights reserved.
Made with 💙 for researchers
Part of the Research Solutions Family.