Análise de eficiência de gestão dos fundos de investimento em ações no Brasil

• Ano de defesa: 2012
• Autor(a) principal: Padilha, Guilherme Castro
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Fundos de investimento
• Link de acesso: http://www.repositorio.ufc.br/handle/riufc/5440

This article analyzes the effect of decisions on resource allocation among items of operating expenses, administrative and otherwise, in the unilateral moments of the distribution of returns on Brazilian stock mutual funds. We follow methodologically Chambers, Chung and Fare (1996, 1998), using the Directional Distance Function (DDF) technique, which allows us to measure the behavior of the average value, and semicurtose semivariance of returns of funds, together with inputs associated with the internal allocation of resources. The boundary of "production" was constructed from the observation of the accounting entries monthly and daily returns for a panel of 59 mutual funds within the class of Ibovespa Activity during 2005 to 2009. We are able to evidence a high level of persistence in terms of efficiency, corroborating the evidence reported in Castro and Matos (2012). The more efficient funds have higher levels of cumulative return, except in 2008, lower levels of undesirable products associated with the risk and composition of operating expenses, such that the value of the ratio of non administrative expenses/ administrative expenses is approximately half of the observed for the most inefficient funds.