Banca de DEFESA: TANITE DE MELO SILVA

Uma banca de DEFESA de MESTRADO foi cadastrada pelo programa.
DISCENTE : TANITE DE MELO SILVA
DATA : 31/07/2017
HORA: 08:00
LOCAL: NEPSA 2
TÍTULO:

STOCK FUNDS RANKINGS: DO THE APPEARANCES CAN BE DECEIVING?


PALAVRAS-CHAVES:

Investment Funds; Persistence; Ranking of funds.


PÁGINAS: 40
GRANDE ÁREA: Ciências Sociais Aplicadas
ÁREA: Administração
RESUMO:

The present research investigated if there is persistence in the performance of stock investment funds listed in Exame magazine's stock funds ranking. There was used as reference the stock funds according to the classification of ANBIMA. It was examined if they showed changes in volatility, return and risk adjusted performance in the period before and after the closing of the ranking, which occurs on the last business day of September of each year. The period used for the investigation of this research was from 2010 to 2015. The research sample consisted of the funds listed in the ranking of the publication chosen. Data from 271 funds were analyzed for their returns, volatility and Sharpe Index. Statistical analysis was divided into two parts: the first one analyzed whether each of the funds presented significant results by means of the Student's T test when compared to them in windows of 22, 44 and 66 working days before and after closure Of the ranking. In the second part, the T-Test was performed to verify if there was a significance between the best and the worst fund compared to the other funds of the same bank and year. No evidence was found that there is persistence in the performance of funds. Some banks such as Banco do Brasil, Bradesco, Itau and Santander presented significant results of funds when compared to themselves and when comparing the best or worst funds in relation to the others. In general, the funds showed higher volatility in the period prior to the ranking, but also the funds with the highest volatility were those with the worst Sharpe Index.


MEMBROS DA BANCA:
Interno - 1543333 - ANDERSON LUIZ REZENDE MOL
Externo à Instituição - GERALDO BEZERRA CAMPOS JUNIOR - IFRN
Presidente - 1802347 - VINICIO DE SOUZA E ALMEIDA
Notícia cadastrada em: 21/07/2017 09:19
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