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Persistencia en la performance de los fondos de inversi�n espa�oles de renta variable nacional (1994-2002)

Author

Listed:
  • Luis Ferruz Agudo

    (Departamento de Contabilidad y Finanzas. Facultad de Ciencias Econ�micas y Empresariales. Universidad de Zaragoza.)

  • Mar�a S. Vargas Magall�n

    (Departamento de Contabilidad y Finanzas. Facultad de Ciencias Econ�micas y Empresariales. Universidad de Zaragoza.)

Abstract

Este trabajo desarrolla un an�lisis emp�rico de la persistencia en la performance de los fondos de inversi�n espa�oles 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 �ndice de Sharpe. Como t�cnicas de an�lisis de persistencia se emplean las tablas de contingencia y el an�lisis por regresiones Los resultados confirman la existencia de persistencia en el periodo analizado. Adem�s se desarrolla un estudio complementario acerca de la incidencia que la cantidad de informaci�n disponible relativa a la performance tiene sobre la persistencia, del cual se deduce que la �nica informaci�n relevante para el decisor financiero es la de corto plazo.

Suggested Citation

  • Luis Ferruz Agudo & Mar�a S. Vargas Magall�n, 2004. "Persistencia en la performance de los fondos de inversi�n espa�oles de renta variable nacional (1994-2002)," Documentos de Trabajo dt2004-01, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
    • Handle: RePEc:zar:wpaper:dt2004-01
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    More about this item

    Keywords

    persistencia; performance; fondos de inversi�n de renta variable; tablas de contingencia; regresiones; alfas de Jensen; ratio de Ferruz y Sarto.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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