Análise do efeito do patrmônio líquido no apreçamento de fundos de investimento em ações / Analysis of the effect of net equity in the pricing of investment funds in stocks




This article accounts for real returns on a panel of 75 Brazilian stock mutual funds over the last eleven years using the Capital Asset Pricing Model (CAPM) in its canonical version and with non-linear extensions. The results suggest that the traditional and linear CAPM version is not able to price or forecast mutual funds with higher total assets and outperform regarding Brazilian market index (Ibovespa), confirming Matos and Rocha (2009) conclusion. The CAPM model allowing for threshold effects based on total assets seems to deal well with the Jensen-alpha issue, but it is statistically relevant only for funds with high total assets and low outperform values. This finding emphasizes the importance in modeling these assets category using specific risk factors as in Matos and Silva (2009).


fundos de investimento em ações no brasil threshold capital asset pricing model (tcapm) brazilian stock mutual funds threshold capital asset pricing model (tcapm) componentes da dinamica demografica total assets patrimônio líquido

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