Captação de recursos por fundos de investimento e mercado de ações

Sanvicente, Antonio Zoratto

doi:10.1590/s0034-75902002000300009

Cited by 8 publications

(11 citation statements)

References 6 publications

(3 reference statements)

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“…Ao analisar o mercado de capitais brasileiro, Sanvicente (2002) constata, com base em dados agregados, a forma como a captação de recursos permite explicar os retornos de fundos de investimento. O autor conclui que os fluxos de recursos captados pelos fundos de investimentos influenciam seu desempenho, mas que os volumes investidos nos ativos, embora influentes, não podem ser utilizados como fatores ou critérios para prever retornos.…”

Section: Evoluções Teórica E Empírica Da Avaliação Do Desempenho Paraunclassified

Fundos de Investimento: Performance Aplicando Modelo Carhart e Análise Envoltória de Dados

et al. 2018

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Resumo Este estudo avalia o desempenho de fundos de investimento brasileiros em ações, comparando retornos reais e indicadores paramétricos e não paramétricos de performance. A estimativa de desempenho e classificação dos fundos foi realizada com base na observação dos retornos reais e dos alfas obtidos do modelo de regressão linear paramétrica, de Carhart. Os indicadores foram comparados com os scores de eficiência relativa da análise envoltória de dados, do modelo não paramétrico de Banker, Charnes e Cooper. Os alfas foram estimados considerando os impactos dos fatores de mercado, tamanho, valor e momento nos retornos reais de cada fundo e os scores, tendo como insumos risco sistêmico, recursos disponíveis, custos e risco total, e, como produto de análise, os retornos. Identificou-se queda de performance dos fundos, apontada pela literatura, alta correlação dos alfas com os retornos reais, baixa correlação dos scores com retornos e mais baixa correlação entre alfas e scores. Isso indica que a escolha da medida de avaliação a ser utilizada consiste em uma importante etapa da seleção de ativos. Montaram-se, ainda, carteiras teóricas pautadas na eficiência e alfas identificando-se performance superior das carteiras baseada na eficiência, sendo que nenhuma delas superou a carteira de mercado.

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Section: Evoluções Teórica E Empírica Da Avaliação Do Desempenho Paraunclassified

Fundos de Investimento: Performance Aplicando Modelo Carhart e Análise Envoltória de Dados

et al. 2018

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“…The literature focused on the Brazilian market indicates that the capital allocation flow in stock funds increases when there is a positive variation in the Ibovespa (Sanvicente, 2002). This author argues that such investor behavior would be coherent with agency theory because it rewards managers with good historical performance and punishes those with inferior performance, but, on the other hand, it is irrational, as past performance should not be an indicator of future performance.…”

Section: Determinants Of Brazilian Stock Fund Performancementioning

confidence: 98%

“…This article makes new contributions by using unobservable information, represented by the return gap, to study the choice of stock funds in the Brazilian market, although similar analyses have been made for the U.S. market. It also therefore contributes by extending the literature on investors' decision-making process regarding managers and stock funds, with the employment of the metric that represents information that previous Brazilian studies have not been able to consider as they have been limited to funds' public and objective characteristics and their historical data (Mendonça et al, 2017;Oliveira & Souza, 2015;Sanvicente, 2002;Silva et al, 2018).…”

Section: Introductionmentioning

confidence: 99%

Selection of stock funds using information that is not observable or measurable

Amaral

Leal

2021

Rev. contab. finanç.

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The aim of this paper is to investigate whether the flows and the future returns of stock funds are related to investors’ unobservable information. This article extends the knowledge about investment decisions regarding stock funds and considers a representation of unobservable information that until now has not been contemplated by the Brazilian literature. Understanding decisions to invest in stocks has become more important since the fall in interest rates and migration toward equity investments. The use of unobservable information for making investment decisions is important when choosing stock funds and the return gap could be added to the list of information offered to investors. The return gap measures the value added by managers in relation to the most recently disclosed complete lagged portfolio and was calculated every month for every asset in the portfolios of every fund in the sample disclosed with a three-month lag. A parsimonious sample was used of 22 actively managed funds in the period from January of 2010 to December of 2018, containing one from every one of the 22 biggest independent Brazilian managers, because it is laborious to calculate this metric. The return gap represents unobservable information about a fund. Investors that direct their capital toward stock funds with a higher historical return gap tend to obtain higher returns in out-of-sample tests, suggesting persistence of the returns of these funds and supporting the importance of unobservable information. Investors that directed their capital toward funds with lower historical return gaps could also obtain positive alphas in some cases, indicating that some managers were neglected. The fund flow results were inconclusive.

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“…In Brazil, the study by Sanvicente (2002) is particularly noteworthy, exploring whether the performance of the São Paulo Stock Exchange Index (IBOVESPA) was crucial for net mutual fund flows in Brazil. Conducted from June 30, 1999 through to June 29, 2001 and based on daily data, this study found that the behavior of the Index up to three days earlier influenced net flow by mutual funds.…”

Section: Review Of the Literaturementioning

confidence: 99%

Mutual fund flows: an analysis of the main macroeconomic factors

Roquete¹,

Figueiredo²

2015

GEPROS

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This paper analyzes whether some macroeconomic factors (country risk, IBrX volatility and Interbank Certificate of Deposit) are related to mutual fund flows for the period between January 2005 and August 2014. In order to investigate whether the flow series behaved differently during this period, the Chow test was conducted for September 2008 (the month in which the Lehman Brothers investment bank collapsed). The regressions were performed and the parameters were estimated through the OLS

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Captação de recursos por fundos de investimento e mercado de ações

Cited by 8 publications

References 6 publications

Fundos de Investimento: Performance Aplicando Modelo Carhart e Análise Envoltória de Dados

Fundos de Investimento: Performance Aplicando Modelo Carhart e Análise Envoltória de Dados

Selection of stock funds using information that is not observable or measurable

Mutual fund flows: an analysis of the main macroeconomic factors

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