List of Reviewers - Brazilian Review of Finance - RBFin

ID: 45812

Authors: Revista Brasileira de Finanças - RBFin.

Source: Revista Brasileira de Finanças, v. 14, n. 4, p. 1-1, October-December, 2016. 1 page(s).

Document type: Other (English)

Behavioral funds have superior performance? An Analysis based on International Evidences

ID: 45807

Authors: Robson Costa Reis, Marcelo Cabus Klotzle, Antonio Carlos Figueiredo Pinto, Leonardo Lima Gomes.

Source: Revista Brasileira de Finanças, v. 14, n. 4, p. 479-479, October-December, 2016. 1 page(s).

Keyword: Behavioral Finance , behavioral funds , performance indicators

Document type: Article (Portuguese) Show Abstract

This work has analyzed the performance of 31 behavioral mutual funds in the USA, Europe and Japan described in Santoni and Kelshiker (2010). Were observed the performances of the funds and their respective benchmarks in four indicators: the Sharpe index, Sortino Index, Omega Measure and the Behavioral Performance Measure. The horizon of analysis was 10 years (Jan/04 to Dec/14) divided in intervals of 6, 12, 36, 60 and 120 months. Based on the consolidation of indicators the funds were ranked and classified into three bands of performance: top, middle and bottom. In the interval of 120 months there was, in general, no significant (5%) difference in the average performance between the funds and the benchmarks. The analysis by intervals indicated that the performance of the funds in relation to the benchmarks worsen as the investment horizon increases. In shorter intervals (6 and 12 months) there was, in average, a significant difference in performance while in longer maturities (36 and 60 months) the average performance of the funds was significantly lower than the benchmarks. In the mean of all intervals the average performance of the funds was significantly lower than the benchmarks.

Brazilian REIT: Alternative Investment to Real Estate, Stock and Bonds

ID: 45808

Authors: Karen Yukari Yokoyama, Alfredo Sarlo Neto, Claudio Marcio Pereira da Cunha.

Source: Revista Brasileira de Finanças, v. 14, n. 4, p. 523-523, October-December, 2016. 1 page(s).

Keyword: Alternative Investments , Brazilian REIT , Diversification , Modern Portfolio Theory , Real Estate Market

Document type: Article (English) Show Abstract

Given the recent expansion of real estate securities in the Brazilian market, the present study examines Brazilian REITs (FIIs) returns’ exposure to underlying market returns (real estate, stock and bond) in order to assess evidence of diversification power provided by this investment type in light of Modern Portfolio Theory. The research considers a sample of FIIs listed on the São Paulo Stock Exchange, during the period of 2008-2014, applying Clayton and Mackinnon´s (2003) methodology, where the econometric model explaining REIT returns is decomposed into three market factors. Results indicate that although FII returns reflect their hybrid nature, the proposed model is not sufficient to explain their total returns, suggesting that FII performance is not primarily driven by any of these underlying markets. In fact, FII would consist of a unique asset class and as such may provide diversification benefits in a mixed portfolio, depending on the selected FII type.

Value & Growth Investing and PEAD in Brazil

ID: 45809

Authors: Fernando Caio Galdi, Vinícius Souto-Maior Lima.

Source: Revista Brasileira de Finanças, v. 14, n. 4, p. 551-551, October-December, 2016. 1 page(s).

Keyword: Anomalies , Financial Statement Analysis , Post-Earnings Announcement Drift , Value Investing

Document type: Article (Portuguese) Show Abstract

This paper investigates whether stock picking considering post-earnings announcement drift (PEAD) together with financial statement analysis improve portfolio returns in the Brazilian market. The strategy implemented explores the PEAD anomaly (using SUE portfolios) and both F_Score (Piotroski, 2000) and G_Score (Mohanran, 2005) to build the investment portfolios. To proxy for earnings surprises we use the standardized unexpected earnings (SUE) criteria. Our analysis considers quarterly data from Brazilian listed firms from 2001 to 2011. Our results show that earnings surprise together with fundamental analysis can build portfolios with stronger returns potential considering long-only and long-short positions.

Gold Can Be Used as Safe Haven for Extreme Returns of the BM&FBovespa?

ID: 45810

Authors: Leonardo Oliveira Penna de Carvalho, Ademir Luis Teles Brito, Malu Brandão Moura, Eliane Silva Conceição, Miguel Angel Rivera Castro.

Source: Revista Brasileira de Finanças, v. 14, n. 4, p. 579-579, October-December, 2016. 1 page(s).

Keyword: Gold , Hedge , Safe Haven

Document type: Article (Portuguese) Show Abstract

This paper analyzes the coverage capacity of gold over extreme variations in the Brazilian stock exchange (BM&FBovespa). For this purpose, we developed a likelihood ratio test based on the dependence structure between gold and the Brazil Index 100-IBrX 100. We investigated if when this index experienced an extreme loss of value, the gold suffers an extreme increase in its value or vice versa. Firstly, based on the extreme value theory, we identified extreme movements in both markets. Thus, we investigate the relationship between gold and the Brazilian stock market by formulating many propositions about the conditional dependence between them. Using daily quotation of the stock and gold market price for the period between January 2000 and March 2015, we found evidences that confirms that gold acts as hedge a and as weak safe haven against negative returns of stocks exchange.

The Halloween Effect in the Brazilian Stock Market

ID: 45811

Authors: Juliano Ribeiro de Almeida, Guilherme Ribeiro de Almeida, Daniel Reed Bergmann.

Source: Revista Brasileira de Finanças, v. 14, n. 4, p. 597-597, October-December, 2016. 1 page(s).

Keyword: anomalies , data-snooping , Halloween effect , market efficiency

Document type: Article (Portuguese) Show Abstract

The Halloween effect relates to the notion that stock market returns tend to be higher in the period from November to April than from May to October. In this study, we analyze the robustness of this trading strategy taking into account the individual returns of stocks traded in the Brazilian stock market during the period from August 1994 to June 2014. Using standard dummy regression approach introduced by Bouman and Jacobsen (2002), our results suggest the existence of the Halloween effect in the Brazilian market, which has shown to be economically and statistically significant, with a positive sign and a slight drop trend over the past few years. In addition, when reassessing these results using the "Superior Predictive Ability Test" of Hansen (2005), we have found that an investment strategy based on the Halloween effect generates a statistically significant returns superior to a buy-and-hold strategy when the effects of data-snooping when datasnooping effects are not neglected in the stock returns series, as in Bouman and Jacobsen (2002).