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Survivorship bias in Brazilian stock funds

Author

Listed:
  • Flavio C. Sanematsu

    (Brazilian Economic and Social National Development Bank (BNDES))

  • Ricardo P. C. Leal

    (The Coppead Graduate School of Business at the Federal University of Rio de Janeiro)

Abstract

This article investigates the survivorship bias of a sample of 1119 equity mutual funds in Brazil between 2004 and 2013. There is indication that survivorship bias increases when very small funds and those that did not have share prices for at least 12 contiguous months are not discarded. Results indicate that the sample with non-surviving funds frequently presented average returns lower than a sample with only surviving funds in a given year. Association to a large financial conglomerate and longevity may also favor fund survivorship.

Suggested Citation

  • Flavio C. Sanematsu & Ricardo P. C. Leal, 2016. "Survivorship bias in Brazilian stock funds," Economics Bulletin, AccessEcon, vol. 36(2), pages 942-948.
    • Handle: RePEc:ebl:ecbull:eb-16-00303
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2016/Volume36/EB-16-V36-I2-P93.pdf
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    References listed on IDEAS

    as
    1. Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1996. "Survivorship Bias and Mutual Fund Performance," The Review of Financial Studies, Society for Financial Studies, vol. 9(4), pages 1097-1120.
    2. Brown, Stephen J & Goetzmann, William N, 1995. "Performance Persistence," Journal of Finance, American Finance Association, vol. 50(2), pages 679-698, June.
    3. Malkiel, Burton G, 1995. "Returns from Investing in Equity Mutual Funds 1971 to 1991," Journal of Finance, American Finance Association, vol. 50(2), pages 549-572, June.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    survivorship bias; equity mutual funds; Brazil;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services

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