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Callendar Effect and Behavioral Finance in Brazilian Hedge Funds

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  • Rodrigo Fernandes Malaquias
  • Samuel de Paiva Naves Mamede

Abstract

The aim of this paper was to analyze the relationship between Mondays and the profitability provided by Brazilian hedge funds. We used a data basis composed of 3,337 hedge funds, totaling 3,529,808 observations of daily data, during the period from January 2005 until September 2013. To test the hypothesis, we used regression with panel data and we inserted control variables in the model that the literature points out as relevant. The main results showed that the Monday effect also occurs in the hedge funds segment and this effect is intensified in periods of financial crisis. However, we show that the effect is not consistent across all sub-categories of hedge funds. The results were persistent for funds which don't have a redemption period, as well as for the control for the Ibovespa daily returns. The discussion was mainly based on Behavioral Finance Theory in seeking potential explanations for this anomaly.

Suggested Citation

  • Rodrigo Fernandes Malaquias & Samuel de Paiva Naves Mamede, 2015. "Callendar Effect and Behavioral Finance in Brazilian Hedge Funds," RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração, vol. 19(spe1), pages 98-116.
    • Handle: RePEc:abg:anprac:v:19:y:2015:i:spe1:1141
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