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Captação de recursos por fundos de investimento e mercado de ações

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  • Sanvicente, A. Z.

Abstract

The paper discusses the contemporaneous and lagged association between aggregate mutual fund flows and stock market performance in Brazil. The goals of the paper are (1) to ascertain whether aggregate stock fund flows are determined by the behavior of stock market, currency exchange marketand interest rates, on a daily basis, and (2) to verify whether the behavior aggregate fund flows can be used to predict future stock market price behavior. With the aid of tools of time-series analysis, the results obtained herein indicate that the answer to the first question is affirmative, but that the answer to the second question is negative, a result supportive of the belief that the Brazilian stock market is semistrong efficient regarding information on fund flows.
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Suggested Citation

  • Sanvicente, A. Z., 2001. "Captação de recursos por fundos de investimento e mercado de ações," Finance Lab Working Papers flwp_39, Finance Lab, Insper Instituto de Ensino e Pesquisa.
    • Handle: RePEc:ibm:finlab:flwp_39
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    File URL: http://www.ibmecsp.edu.br/pesquisa/download.php?recid=696
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    References listed on IDEAS

    as
    1. Ippolito, Richard A, 1992. "Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry," Journal of Law and Economics, University of Chicago Press, vol. 35(1), pages 45-70, April.
    2. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    3. Harris, Lawrence E & Gurel, Eitan, 1986. "Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures," Journal of Finance, American Finance Association, vol. 41(4), pages 815-829, September.
    4. Warther, Vincent A., 1995. "Aggregate mutual fund flows and security returns," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 209-235.
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    Cited by:

    1. Pedro Luiz Albertin Bono Milan & William Eid Junior, 2015. "Determinants of Portfolio Turnover for Equity Mutual Funds," Brazilian Business Review, Fucape Business School, vol. 12(5), pages 1-15, September.

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