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Title: | False discoveries and luck in the brazilian equity fund market. |
Other Titles: | Falsas descobertas e sorte no mercado brasileiro de fundos de ações. |
???metadata.dc.creator???: | COSTA, Henrique Lamounier. OLIVEIRA, Victor Henriques. GENARO, Alan de. |
Keywords: | False discovery rate metodology;Investment funds;Brazilian equity fund market;Persistence performance;Metodologia de taxa de descoberta falsa;Fundos de investimento;Mercado de fundos de ações brasileiro;Desempenho de persistência |
Issue Date: | 2021 |
Publisher: | Universidade Federal de Campina Grande |
Citation: | COSTA, Henrique Lamounier; OLIVEIRA, Victor Henriques; GENARO, Alan de. False discoveries and luck in the brazilian equity fund market. In: SIMPÓSIO DE ENGENHARIA DE PRODUÇÃO, 9., 2021. Anais [...]. Caruaru - PE: UNIFAVIP, 2021. ISSN: 2318-9258. Disponível em: http://dspace.sti.ufcg.edu.br:8080/jspui/handle/riufcg/32583 |
Abstract: | In this study the performance of equity funds in Brazil between January 2001 and January 2021 is assessed. The False Discovery Rate methodology is applied to the entire sample, as well as to sub-samples differentiating bank-affiliated funds from those unaffiliated. The results suggest that some managers are able to generate positive alphas after controlling for luck and that bankaffiliated funds achieve positive (negative) alphas less (more) frequently. The results also show that the location of alphas in the cross-sectional distribution differs across the sub-samples, with important academic and practical implications. Lastly, there is evidence that positive and negative performance persist, and that bank-unaffiliated funds are responsible for such phenomenon. |
Keywords: | False discovery rate metodology Investment funds Brazilian equity fund market Persistence performance Metodologia de taxa de descoberta falsa Fundos de investimento Mercado de fundos de ações brasileiro Desempenho de persistência |
???metadata.dc.subject.cnpq???: | Engenharia de Produção. |
URI: | http://dspace.sti.ufcg.edu.br:8080/jspui/handle/riufcg/32583 |
Appears in Collections: | Anais do Simpósio de Engenharia de Produção SIMEP |
Files in This Item:
File | Description | Size | Format | |
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FALSE DISCOVERIES AND LUCK IN THE BRAZILIAN EQUITY FUND MARKET - ANAIS IX SIMEP ARTIGO 2021.pdf | False discoveries and luck in the brazilian equity fund market. - Anais IX Simep Artigo 2021 | 466.41 kB | Adobe PDF | View/Open |
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