Fundos multimercados: desempenho, determinantes do desempenho e efeito moderador

Malaquias, Rodrigo Fernandes; Eid, William

doi:10.1590/1678-69712014/administracao.v15n4p135-163

Cited by 15 publications

(28 citation statements)

References 32 publications

(60 reference statements)

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“…Além disso, a indústria de fundos de investimento vem apontando significativo crescimento ao longo dos últimos anos (Gomes & Cresto, 2010;Malaquias & Eid, 2014).…”

Section: Introductionunclassified

Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados

Malaquias

Mamede

2015

Rev. adm. contemp.

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O objetivo geral deste trabalho consistiu em analisar a relação entre os dias de segunda-feira com a rentabilidade proporcionada pelos fundos de investimentos multimercados brasileiros. A base final de análise foi composta por 3.337 fundos multimercados, totalizando 3.529.808 observações para dados diários, no período de janeiro/2005 a setembro/2013. Com a utilização da análise de regressão com dados em painel, levando-se em consideração variáveis de controle apontadas pela literatura como relevantes, os principais resultados indicaram que o efeito segunda-feira também ocorre no segmento de fundos de investimento, sendo intensificado por períodos de crises financeiras. Contudo constatou-se que esse efeito não foi uniforme entre todas as subcategorias de fundos multimercados. Os resultados foram persistentes entre fundos cujo prazo de resgate é D+0, bem como foram robustos ao controle pela série de retornos do Ibovespa. A discussão foi ancorada principalmente na Teoria de Finanças Comportamentais, buscando-se assim potenciais explicações para essa anomalia de mercado.

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“…Além disso, a indústria de fundos de investimento vem apontando significativo crescimento ao longo dos últimos anos (Gomes & Cresto, 2010;Malaquias & Eid, 2014).…”

Section: Introductionunclassified

Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados

Malaquias

Mamede

2015

Rev. adm. contemp.

Self Cite

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“…In contrast to tenure over 19 years, this employee has been able to cope with fluctuations and is able to produce high mutual fund performance. This relationship can be an indication of agent conflict, given that tenure managers can reflect specific knowledge about the markets in which they operate (Malaquias and Junior 2014). In addition, the most experienced managers are usually older than the least experienced, have generally been recognized by the market, and tend to be more conservative, perhaps because they have continued to implement some correct strategies and routines in the past (Naidenova et al 2015).…”

Section: Resultsmentioning

confidence: 99%

“…Some studies have suggested that tenure has a positive effect on mutual fund performance (Hu and Chang 2008;Persson and Karlsson, 2005;Poole et al 2006;Lee et al 2008;Philpota et al 2000;Payne et al 1999;Golec 1996). But other studies suggest that tenure is negatively related to mutual fund performance (Malaquias and Junior 2014;Naidenova et al 2015;Porter and Trifts 2012).…”

Section: Introductionmentioning

confidence: 99%

Funds Manager and Mutual Funds Characteristics on Mutual Funds Performance: Empirical Evidence of Equity Mutual Funds in Indonesia

Rachmawati¹,

Wahyudi²,

Pangestuti³

et al. 2020

IJFR

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This study examines the effect of investment fund managers' characteristics in the form of tenure, and mutual fund characteristics with proxy turnover portfolios, market timing and stock selectivity on the performance of stock mutual funds. The research sample is 27 stock mutual funds in Indonesia that were active from 2013 to 2017. On the analysis of the relationships between the characteristics of investment managers and mutual funds characteristics on the performance of stock mutual funds, a series of OLS regressions were run. The panel data regression was included based on using the Eviews. All of the above were aimed at achieving portfolio optimization and realizing the maximization of the interests for fund management companies and investors. The main findings are as follows. Tenure does not affect the performance of stock mutual funds during the years 2013 to 2017, but if divided into 2 quadrants of tenure, namely tenure over 19 years and tenure under 19 years of work, the result is that tenure over 19 years has a positive effect on the performance of stock mutual funds, but tenure brought 19 years has no effect on the performance of equity funds, whereas mutual funds characteristics, which are proxied by portfolio turnover, market timing and stock selectivity, have a significant positive effect on the performance of equity funds in Indonesia. The primary limitation in the scope is the sample, because stock mutual funds that publish consistently Financial statements between 2013 and 2017 are few in number. These findings have important implications for fund management companies as input material that the investment strategy of the investment management team affects the performance of equity funds compared to the characteristics of investment managers with proxies for years of service. This paper proposes a new perspective to evaluate the relationship between the fund manager and mutual funds characteristicsanddivide 2 groups of working years, and calculate them with non-linear models.

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“…Hedge funds are funds that adopt a certain number of investment strategies that cannot be adopted by traditional investment funds without being more or less risky than these ones (INFOMONEY, 2005). Malaquias and Eid (2014) state that funds classified as multimarket use hedge funds strategies utilized in other countries and, with that, Brazilian managers can be found using characteristics similar to these ones.…”

Section: Independent Journal Of Management and Production (Ijmandp)mentioning

confidence: 93%

A dematel-topsis-wings approach to the classification of multimarket investment funds

Sallum

Gomes

Machado

2018

Ind. Jour. Manag. & Prod.

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This paper analyzes the performance of 20 multimarket investment funds in the Brazilian market from May/2015 to April/2017 in order to categorize them into 4 performance levels. The cumulative rate and the funds' volatility are calculated in 2 periods among the total periods studied, in order to generate a mutual degree of influence among the funds of each group. Next, the WINGS method is applied. This method splits each group into 2 subgroups, generating the 4 levels of classification. The use of the methodology classified 5 funds in each subgroup. The data analysis compared the obtained classification with the classification established by the cumulative rate of the funds throughout the entire period and presented 4 ways to prioritize the decision for the funds ranked higher. These 4 ways of prioritizing the decision aim at assisting investors with different points of view.

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Fundos multimercados: desempenho, determinantes do desempenho e efeito moderador

Cited by 15 publications

References 32 publications

Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados

Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados

Funds Manager and Mutual Funds Characteristics on Mutual Funds Performance: Empirical Evidence of Equity Mutual Funds in Indonesia

A dematel-topsis-wings approach to the classification of multimarket investment funds

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