¿Utilizan los gestores españoles de fondos de inversión información privada en sus labores de gestión?
AbstractWith this work we analyse the performance of a group of Spanish investment funds based on the CAPM and on the conditional model proposed by Ferson and Schadt. Prior to the empirical application of this second model, rigorous econometric multicollinearity analyses of the model variables are performed as well as analyses of their order of integration in order to implement non-spurious and adequate regressions. We obtain a higher performance based on the conditional model, which is also better specified, enabling us to confirm, therefore, the use of private information by Spanish funds managers. Mediante este trabajo analizamos la performance de un grupo de fondos de inversión españoles basándonos en el modelo CAPM y en el modelo condicional propuesto por Ferson y Schadt. Antes de la aplicación empírica de este segundo modelo, se han realizado rigurosos análisis econométricos de multicolinealidad de las variables del modelo así como análisis de su orden de integración para llevar a cabo regresiones no espurias y adecuadas. Obtenemos una mejor performance basándonos en el modelo condicional, el cual está además mejor especificado, permitiéndonos confirmar, por consiguiente, el uso de información privada por los gestores de fondos españoles.
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Bibliographic InfoArticle provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.
Volume (Year): 26 (2008)
Issue (Month): (Septiembre)
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Postal: Beatriz Rodríguez Prado. Facultad de CC.EE. y EE. Avda. Valle del Esgueva. Valladolid 47011 SPAIN
Phone: (34) 983 423320
Fax: (34) 983 184568
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Find related papers by JEL classification:
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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