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Persistencia en la performance de los fondos de inversión españoles de renta variable nacional (1994-2002)

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Author Info

  • Luis Ferruz Agudo

    ()
    (Departamento de Contabilidad y Finanzas. Facultad de Ciencias Económicas y Empresariales. Universidad de Zaragoza.)

  • María S. Vargas Magallón

    ()
    (Departamento de Contabilidad y Finanzas. Facultad de Ciencias Económicas y Empresariales. Universidad de Zaragoza.)

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    Abstract

    Este trabajo desarrolla un análisis empírico de la persistencia en la performance de los fondos de inversión españoles de renta variable nacional. Como medidas de performance emplea el alfa de Jensen y un ratio novedoso desarrollado por Ferruz y Sarto perteneciente a la familia del índice de Sharpe. Como técnicas de análisis de persistencia se emplean las tablas de contingencia y el análisis por regresiones Los resultados confirman la existencia de persistencia en el periodo analizado. Además se desarrolla un estudio complementario acerca de la incidencia que la cantidad de información disponible relativa a la performance tiene sobre la persistencia, del cual se deduce que la única información relevante para el decisor financiero es la de corto plazo.

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    Bibliographic Info

    Paper provided by Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza in its series Documentos de Trabajo with number dt2004-01.

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    Date of creation: Jan 2004
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    Handle: RePEc:zar:wpaper:dt2004-01

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    Keywords: persistencia; performance; fondos de inversión de renta variable; tablas de contingencia; regresiones; alfas de Jensen; ratio de Ferruz y Sarto.;

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