The convex relationship between performance and net flows of mutual funds in Brazil / A relação convexa entre desempenho e captação de fundos de investimento no Brasil
AUTOR(ES)
Marcelo Guterman
DATA DE PUBLICAÇÃO
2010
RESUMO
This paper researches the relationship between performance and net flows of mutual funds in Brazil. For this purpose, I used panel data to regress monthly net flows to risk-adjusted and not risk-adjusted performance of several terms. I study this relationship for equities and hedge funds. There is a positive and significant relationship between the net flows and the riskadjust and not-risk adjusted performance. For equities funds, the longer the term, the stronger is the relationship. For hedge funds, only returns up to three months are significant. As in other papers, I found out convex relationship between net flows and performance: good performance causes bigger net flows, but poor performance does not cause withdraws proportionally. This phenomenon is observed for both types of funds, but it exists just for the shorter terms: up to three months for hedge funds and up to twelve months for equities funds
ASSUNTO(S)
mutual funds economia dados em painel convexity convexidade panel data fundos de investimento
ACESSO AO ARTIGO
http://tede.ibmecsp.edu.br/tde_busca/arquivo.php?codArquivo=162Documentos Relacionados
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