Desempenho e Características dos Fundos de Investimento: Evidências do Mercado Português Outros Idiomas

ID:
38938
Autores:
Júlio Lobão
Sofia Cruz Gomes
Periódico:
Revista de Gestão, Finanças e Contabilidade
Resumo:
Este artigo tem como objetivo o estudo da relação entre o desempenho dos fundos de investimento a atuar em Portugal e as suas características. A amostra inclui 124 fundos de ações, de obrigações e de tesouraria e mercado monetário que operaram no período 20042011. Nas características dos fundos consideraram-se um grupo alargado de fatores nunca antes utilizados em conjunto na literatura. A metodologia desenvolveu-se em duas fases. Em primeiro lugar, compararam-se as rendibilidades de cada categoria de fundos com os mercados de referência adequados. Em segundo lugar, o desempenho dos fundos, medido pelo alfa de Jensen, foi utilizado num modelo multifatorial com dados em painel em que as variáveis independentes são as características dos fundos. Os resultados mostram que os fundos, em geral, tiveram dificuldade em superar os mercados de referência o que é consistente com a existência de mercados financeiros eficientes. Apenas os fundos na categoria de obrigações europeias com taxa fixa apresentaram um bom desempenho. Concluise ainda que, para cada categoria de fundos, as suas características são úteis para o investidor no momento da escolha dos melhores fundos de investimento. Por exemplo, o melhor desempenho dos fundos que investem em ações Portuguesas ocorre entre os fundos mais antigos e de maior dimensão, com custos mais elevados, com um histórico de rendibilidades elevadas e que transacionam menos.
Palavras-chave:
características dos fundos, dados em painel, desempenho ajustado ao risco, fundos de investimento, Portugal
Citação ABNT:
LOBÃO, J.; GOMES, S. C. Performance and Characteristics of Mutual Funds: Evidence from the Portuguese Market . Revista de Gestão, Finanças e Contabilidade, v. 5, n. 4, p. 125-148, 2015.
Citação APA:
Lobão, J., & Gomes, S. C. (2015). Performance and Characteristics of Mutual Funds: Evidence from the Portuguese Market . Revista de Gestão, Finanças e Contabilidade, 5(4), 125-148.
DOI:
http://dx.doi.org/10.18028/2238-5320/rgfc.v5n4p125-148
Link Permanente:
https://www.spell.org.br/documentos/ver/38938/desempenho-e-caracteristicas-dos-fundos-de-investimento--evidencias-do-mercado-portugues/i/pt-br
Tipo de documento:
Artigo
Idioma:
Inglês
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