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Assessing Market Timing Performance of Brazilian Multi-Asset Pension Funds using the Battese and Coelli's Stochastic Frontier Model (1995)

Author

Listed:
  • Isoé N. Schneider

    (Universidade Regional do Noroeste do Estado do Rio Grande do Sul - UNIJUÃ)

  • Daniel Knebel Baggio

    (Universidade Regional do Noroeste do Estado do Rio Grande do Sul - UNIJUà / URI Santo Ângelo)

  • João S. Tusi da Silveira

    (Universidade Federal de Santa Catarina - UFSC)

  • Maria M. Baccin Brizolla

    (Universidade Regional do Noroeste do Estado do Rio Grande do Sul - UNIJUÃ)

Abstract

In this paper, we used the SFA (Stochastic Frontier Analysis) approach to evaluate the efficiency of 170 Brazilian multi-asset pension funds in the period from 2013 to 2017, which aims to assess the skill level of fund managers to outperform the benchmarks. The adoption of the Battese and Coelli's (1995) stochastic frontier model in market-timing analysis is new and the obtained empirical results are promising for future replications including for other types of pension funds, explanatory variables and observation periods, in different data models.

Suggested Citation

  • Isoé N. Schneider & Daniel Knebel Baggio & João S. Tusi da Silveira & Maria M. Baccin Brizolla, 2020. "Assessing Market Timing Performance of Brazilian Multi-Asset Pension Funds using the Battese and Coelli's Stochastic Frontier Model (1995)," Economics Bulletin, AccessEcon, vol. 40(1), pages 50-60.
    • Handle: RePEc:ebl:ecbull:eb-19-01109
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    More about this item

    Keywords

    Pension Funds; Stochastic Frontier Model; Market Timing; Efficiency;
    All these keywords.

    JEL classification:

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

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