Gestão dos fundos de investimentos em ações no Brasil: habilidade, timing e previsão

Detalhes bibliográficos
Ano de defesa: 2020
Autor(a) principal: Aguiar, Késia Roberta Carvalho Teles
Orientador(a): Não Informado pela instituição
Banca de defesa: Não Informado pela instituição
Tipo de documento: Dissertação
Tipo de acesso: Acesso aberto
Idioma: por
Instituição de defesa: Não Informado pela instituição
Programa de Pós-Graduação: Não Informado pela instituição
Departamento: Não Informado pela instituição
País: Não Informado pela instituição
Palavras-chave em Português:
Link de acesso: http://www.repositorio.ufc.br/handle/riufc/59836
Resumo: The present work makes an analysis through models that demonstrate the ability of investment fund managers that indicates movements of market anticipation, not with regard about absolute results, but showing an active management in the search for higher levels according to the market trend. Therefore, the work intends apply a benchmark model, that is an equation proposed in Sharpe (1964), Lintner (1965) and Mossin (1966), or Capital Asset Pricing Model (CAPM). In a second step, calculate an extension suggested in Treynor and Mazuy (1966), incorporating a behavior of forecasting or not of managers through the quadratic equation of the fund's excess return in relation to the market's excess return. Finally, a third model, until then not seen in the literature, was applied with the addition of a cubic term in the original equation, where it is possible to research the skill opposite of extreme market fluctuations. Given the long period of analysis, the Bei-perron method will be used to estimate how time breaks selected from the sample. Based on this data identification, the performance cycles of the Ibovespa index will be contextualized, in which the effects will be applied and the application of the models proposed in each cycle.