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Market timing e avaliação de desempenho dos fundos brasileiros

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  • Leusin, Liliana de M. C.
  • Brito, Ricardo D.

Abstract

This work evaluates the performance of Brazilian investment funds vis-à-vis their market timing, in other words, their capacity to preempt differences in the return on shares relative to a fi xed income asset. Parametric and non-parametric tests (as developed by Henriksson and Merton) were used for analyzing the performance of 243 funds for the period between September 1998 and October 2003. Evidence wasfound of the market timing skills of a minority of fund managers, a result that is apparently due to their greater facility for forecasting any large differences in return between the share market and the risk-free interest rate.

Suggested Citation

  • Leusin, Liliana de M. C. & Brito, Ricardo D., 2008. "Market timing e avaliação de desempenho dos fundos brasileiros," RAE - Revista de Administração de Empresas, FGV-EAESP Escola de Administração de Empresas de São Paulo (Brazil), vol. 48(2), April.
    • Handle: RePEc:fgv:eaerae:v:48:y:2008:i:2:a:36588
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    Cited by:

    1. 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.

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