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...
- 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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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 |
dc.type.version.none.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.coarversion.none.fl_str_mv |
http://purl.org/coar/version/c_970fb48d4fbd8a85 |
format |
http://purl.org/coar/resource_type/c_2df8fbb1 |
status_str |
publishedVersion |
dc.identifier.spa.fl_str_mv |
10.2753/REE1540-496X500202 |
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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2c5f4c33c1f4ec6fd2c906e3b115698e |
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repository.name.fl_str_mv |
Biblioteca Digital - Universidad icesi |
repository.mail.fl_str_mv |
cdcriollo@icesi.edu.co |
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1814094867840630784 |