41854

João Nascimento Nerasti
Cláudio Ribeiro Lucinda

Revista Brasileira de Finanças

This paper aims to investigate the existence of persistence in superior performance in Brazilian stock market funds from 2001 to 2014. In order to do so, we used a sample free of survivorship bias and four different market models to characterize the expected return and risk relationship. In all models we were not able to find evidence consistent with superior performance, indicating performance differences could be more attributed to different exposures to risk factors than superior skill. Some additional evidence was found the momentum factor seems to explain a large part of the funds’ excess returns in both top and bottom deciles.

Performance Evaluation, Performance Persistence, Portfolio Management

NERASTI, J. N.; LUCINDA, C. R. Persistência de Desempenho em Fundos de Ações no Brasil. Revista Brasileira de Finanças, v. 14, n. 2, p. 269-297, 2016.

Nerasti, J. N., & Lucinda, C. R. (2016). Persistência de Desempenho em Fundos de Ações no Brasil. Revista Brasileira de Finanças, 14(2), 269-297.

https://www.spell.org.br/documentos/ver/41854/persistence-in-mutual-fund-performance-in-brazil/i/en

Artigo

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