Aplicação Do Teste De Raiz Unitária Para Análise Da Rentabilidade Dos Fundos De Renda Fixa Brasileiros

Abstract

Fixed income funds have the highest proportion of investments in Brazil. Nevertheless, researchers dedicate more attention to equity funds in comparison with fixed income investment funds. The purpose of this study is to evaluate the profitability of the fixed income funds through the application of the unit root test, in order to identify if there are patterns of behavior in such funds that make the data non-stationary. Through descriptive statistics and multivariate regression analysis, we observed certain patterns in the behavior of funds' profitability, which were: lower profitability on Mondays and higher on Tuesdays; Negative relationship between profitability and SELIC rate; and difference in profitability among funds categories. The two unit root tests performed showed that the series was stationary. Nevertheless, by controlling the behavior patterns, an improvement in these statistics was obtained.