Title
Persistence in equity fund performance in Brazil
Date Issued
01 January 2014
Access level
metadata only access
Resource Type
journal article
Author(s)
Publisher(s)
M.E. Sharpe Inc.
Abstract
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.
Start page
16
End page
33
Volume
50
Issue
2
Language
English
OCDE Knowledge area
Economía, Negocios
Subjects
Scopus EID
2-s2.0-84904957789
Source
Emerging Markets Finance and Trade
ISSN of the container
1540496X
Source funding
Universidad del Bío-Bío
Sponsor(s)
Luis Berggrun (lberggru@icesi.edu.co) is an associate professor of finance at the School of Business, Universidad Icesi, Cali, Colombia. Samuel Mongrut (smongrut@itesm.mx) is a professor of finance at the Graduate School of Business, ITESM, Mexico, and Universidad del Pacífico Research Center (CIUP), Lima, Peru. Benito Umaña (benito@ubiobio.cl) is an associate professor of finance at the School of Business, Universidad del Bío-Bío, Chillán, Chile. Gyorgy Varga (varga@fce.com.br) is a partner in FCE Consulting, Rio de Janeiro, Brazil. Benito Umaña acknowledges financial support from the Research Division of Universidad del Bío-Bío (research project 102318 1/R).
Sources of information:
Directorio de Producción Científica
Scopus