Persistence in Equity Fund Performance in Brazil

We examine performance persistence in the large and growing Brazilian equity fund market from 2000 to 2012. We find a significant risk-adjusted spread between a portfolio of top- and bottom-performing funds, which supports the idea that performance persists. This spread remains after controlling for...

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Autores:
Berggrun Preciado, Luis
Tipo de recurso:
Article of investigation
Fecha de publicación:
2014
Institución:
Universidad ICESI
Repositorio:
Repositorio ICESI
Idioma:
eng
OAI Identifier:
oai:repository.icesi.edu.co:10906/79790
Acceso en línea:
http://www.tandfonline.com/doi/abs/10.2753/REE1540-496X500202
http://www.scopus.com/inward/record.url?eid=2-s2.0-84904957789&partnerID=tZOtx3y1
http://hdl.handle.net/10906/79790
https://doi.org/10.2753/REE1540-496X500202
Palabra clave:
Economía
Negocios y management
Economics
Business
Capital - Brasil
Mercado
Fondos
Rights
openAccess
License
https://creativecommons.org/licenses/by-nc-nd/4.0/
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oai_identifier_str oai:repository.icesi.edu.co:10906/79790
network_acronym_str ICESI2
network_name_str Repositorio ICESI
repository_id_str
spelling Berggrun Preciado, Luislberggru@icesi.edu.coNew York de Lat: 43 00 00 N degrees minutes Lat: 43.0000 decimal degrees Long: 075 00 00 W degrees minutes Long: -75.0000 decimal degrees2016-08-16T13:06:45Z2016-08-16T13:06:45Z2014-01-0110.2753/REE1540-496X5002021540-496Xhttp://www.tandfonline.com/doi/abs/10.2753/REE1540-496X500202http://www.scopus.com/inward/record.url?eid=2-s2.0-84904957789&partnerID=tZOtx3y1http://hdl.handle.net/10906/79790https://doi.org/10.2753/REE1540-496X500202instname: Universidad Icesireponame: Biblioteca Digitalrepourl: https://repository.icesi.edu.co/We examine performance persistence in the large and growing Brazilian equity fund market from 2000 to 2012. We find a significant risk-adjusted spread between a portfolio of top- and bottom-performing funds, which supports the idea that performance persists. This spread remains after controlling for market, size, distress, and momentum risk factors and tends to be larger and more significant for a set of small and retail funds. The spread is mostly driven by the underperformance of the bottom decile of funds, which is consistent with the existence of some fund managers with insufficient skills to recover investment costs. © 2014 M.E. Sharpe, Inc. All rights reserved.17 páginasDigitalapplication/pdfengM.E. Sharpe Inc.Facultad de Ciencias Administrativas y EconómicasContaduría Pública y Finanzas InternacionalesDepartamento Contable y FinancieroNew YorkEmerging Markets Finance and Trade, Vol. 50, No. 2 - 2014EL AUTOR, expresa que la obra objeto de la presente autorización es original y la elaboró sin quebrantar ni suplantar los derechos de autor de terceros, y de tal forma, la obra es de su exclusiva autoría y tiene la titularidad sobre éste. PARÁGRAFO: en caso de queja o acción por parte de un tercero referente a los derechos de autor sobre el artículo, folleto o libro en cuestión, EL AUTOR, asumirá la responsabilidad total, y saldrá en defensa de los derechos aquí autorizados; para todos los efectos, la Universidad Icesi actúa como un tercero de buena fe. Esta autorización, permite a la Universidad Icesi, de forma indefinida, para que en los términos establecidos en la Ley 23 de 1982, la Ley 44 de 1993, leyes y jurisprudencia vigente al respecto, haga publicación de este con fines educativos. Toda persona que consulte ya sea la biblioteca o en medio electrónico podrá copiar apartes del texto citando siempre la fuentes, es decir el título del trabajo y el autor.https://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessAtribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0)http://purl.org/coar/access_right/c_abf2EconomíaNegocios y managementEconomicsBusinessCapital - BrasilMercadoFondosPersistence in Equity Fund Performance in Brazilinfo:eu-repo/semantics/articlehttp://purl.org/coar/resource_type/c_2df8fbb1Artículoinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/version/c_970fb48d4fbd8a85Comunidad Universidad Icesi – Investigadores5021633ORIGINALdocumento.htmldocumento.htmltext/html294http://repository.icesi.edu.co/biblioteca_digital/bitstream/10906/79790/1/documento.html2c5f4c33c1f4ec6fd2c906e3b115698eMD5110906/79790oai:repository.icesi.edu.co:10906/797902018-10-22 16:41:42.156Biblioteca Digital - Universidad icesicdcriollo@icesi.edu.co
dc.title.spa.fl_str_mv Persistence in Equity Fund Performance in Brazil
title Persistence in Equity Fund Performance in Brazil
spellingShingle Persistence in Equity Fund Performance in Brazil
Economía
Negocios y management
Economics
Business
Capital - Brasil
Mercado
Fondos
title_short Persistence in Equity Fund Performance in Brazil
title_full Persistence in Equity Fund Performance in Brazil
title_fullStr Persistence in Equity Fund Performance in Brazil
title_full_unstemmed Persistence in Equity Fund Performance in Brazil
title_sort Persistence in Equity Fund Performance in Brazil
dc.creator.fl_str_mv Berggrun Preciado, Luis
dc.contributor.author.spa.fl_str_mv Berggrun Preciado, Luis
dc.subject.none.fl_str_mv Economía
Negocios y management
Economics
Business
Capital - Brasil
Mercado
Fondos
topic Economía
Negocios y management
Economics
Business
Capital - Brasil
Mercado
Fondos
description We examine performance persistence in the large and growing Brazilian equity fund market from 2000 to 2012. We find a significant risk-adjusted spread between a portfolio of top- and bottom-performing funds, which supports the idea that performance persists. This spread remains after controlling for market, size, distress, and momentum risk factors and tends to be larger and more significant for a set of small and retail funds. The spread is mostly driven by the underperformance of the bottom decile of funds, which is consistent with the existence of some fund managers with insufficient skills to recover investment costs. © 2014 M.E. Sharpe, Inc. All rights reserved.
publishDate 2014
dc.date.issued.none.fl_str_mv 2014-01-01
dc.date.accessioned.none.fl_str_mv 2016-08-16T13:06:45Z
dc.date.available.none.fl_str_mv 2016-08-16T13:06:45Z
dc.type.none.fl_str_mv info:eu-repo/semantics/article
dc.type.coar.none.fl_str_mv http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.local.none.fl_str_mv Artículo
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dc.identifier.issn.none.fl_str_mv 1540-496X
dc.identifier.other.spa.fl_str_mv http://www.tandfonline.com/doi/abs/10.2753/REE1540-496X500202
http://www.scopus.com/inward/record.url?eid=2-s2.0-84904957789&partnerID=tZOtx3y1
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10906/79790
dc.identifier.doi.none.fl_str_mv https://doi.org/10.2753/REE1540-496X500202
dc.identifier.instname.none.fl_str_mv instname: Universidad Icesi
dc.identifier.reponame.none.fl_str_mv reponame: Biblioteca Digital
dc.identifier.repourl.none.fl_str_mv repourl: https://repository.icesi.edu.co/
identifier_str_mv 10.2753/REE1540-496X500202
1540-496X
instname: Universidad Icesi
reponame: Biblioteca Digital
repourl: https://repository.icesi.edu.co/
url http://www.tandfonline.com/doi/abs/10.2753/REE1540-496X500202
http://www.scopus.com/inward/record.url?eid=2-s2.0-84904957789&partnerID=tZOtx3y1
http://hdl.handle.net/10906/79790
https://doi.org/10.2753/REE1540-496X500202
dc.language.iso.eng.fl_str_mv eng
language eng
dc.relation.ispartof.none.fl_str_mv Emerging Markets Finance and Trade, Vol. 50, No. 2 - 2014
dc.rights.uri.none.fl_str_mv https://creativecommons.org/licenses/by-nc-nd/4.0/
dc.rights.accessrights.none.fl_str_mv info:eu-repo/semantics/openAccess
dc.rights.license.none.fl_str_mv Atribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0)
dc.rights.coar.none.fl_str_mv http://purl.org/coar/access_right/c_abf2
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-nd/4.0/
Atribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0)
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.extent.none.fl_str_mv 17 páginas
dc.format.medium.none.fl_str_mv Digital
dc.format.mimetype.none.fl_str_mv application/pdf
dc.coverage.spatial.none.fl_str_mv New York de Lat: 43 00 00 N degrees minutes Lat: 43.0000 decimal degrees Long: 075 00 00 W degrees minutes Long: -75.0000 decimal degrees
dc.publisher.none.fl_str_mv M.E. Sharpe Inc.
dc.publisher.faculty.none.fl_str_mv Facultad de Ciencias Administrativas y Económicas
dc.publisher.program.none.fl_str_mv Contaduría Pública y Finanzas Internacionales
dc.publisher.department.none.fl_str_mv Departamento Contable y Financiero
dc.publisher.place.none.fl_str_mv New York
publisher.none.fl_str_mv M.E. Sharpe Inc.
institution Universidad ICESI
bitstream.url.fl_str_mv http://repository.icesi.edu.co/biblioteca_digital/bitstream/10906/79790/1/documento.html
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repository.name.fl_str_mv Biblioteca Digital - Universidad icesi
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