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Mutual Investments Funds in Shares in Brazil: Incentives, Management and Convergence

Author

Listed:
  • Paulo Rogério Faustino Matos

    (Ceará Federal University)

  • Christiano Modesto Penna

    (Ceará Federal University)

  • Ana Balbina Gomes Silva

    (SEBRAE)

Abstract

This article analyzes patterns of convergence in series of return of investment funds in shares in Brazil, from the use of the methodology of Phillips and Sul (2007). Unlike the theory of portfolios and in disagreement with the characteristics of this market - regulation, transparency, efficiency and informational transaction costs -, it shows a heterogeneous behavior, from the formation of four clubs with specific transition and composition dynamics. The private nature of the management legal entity, the incentives associated with the recovery of low administrative fees, in addition to rates of performance and the emphasis on gains offset by risks, differentiate funds that are losers or winners.

Suggested Citation

  • Paulo Rogério Faustino Matos & Christiano Modesto Penna & Ana Balbina Gomes Silva, 2015. "Mutual Investments Funds in Shares in Brazil: Incentives, Management and Convergence," Brazilian Business Review, Fucape Business School, vol. 12(2), pages 110-144, March.
    • Handle: RePEc:bbz:fcpbbr:v:12:y:2015:i:2:p:110-144
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    References listed on IDEAS

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    3. Guglielmo Maria Caporale & Burcu Erdogan & Vladimir Kuzin, 2009. "Testing for Convergence in Stock Markets: A Non-linear Factor Approach," Discussion Papers of DIW Berlin 932, DIW Berlin, German Institute for Economic Research.
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    6. Nicolas P. B. Bollen, 2005. "Short-Term Persistence in Mutual Fund Performance," The Review of Financial Studies, Society for Financial Studies, vol. 18(2), pages 569-597.
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