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Persistencia de resultados en los fondos de inversión españoles

Author

Listed:
  • Alfredo Ciriaco Fernández

    (Universidad Pública de Navarra)

  • Rafael Santamaría Aquilué

    (Universidad Pública de Navarra)

Abstract

El presente artículo estudia la persistencia de los resultados de los fondos de inversión españoles para el período 1992 a 1999. Los resultados obtenidos informan de la existencia de una relación positiva y significativa entre medidas de resultado de distintas referencias temporales. Además, se ha observado que ésta no se encuentra explicada por el momentum, por lo que podría ser atribuida a diferencias en las habilidades de gestión o a las diferencias de comisiones aplicadas a los partícipes. Por último, se ha observado que las variaciones de flujos monetarios netos presentan una correlación positiva y significativa con las rentabilidades pasadas. Esta relación es asimétrica, pudiendo ser explicada por el entorno estratégico de los gestores.

Suggested Citation

  • Alfredo Ciriaco Fernández & Rafael Santamaría Aquilué, 2005. "Persistencia de resultados en los fondos de inversión españoles," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 525-573, September.
  • Handle: RePEc:iec:inveco:v:29:y:2005:i:3:p:525-573
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    References listed on IDEAS

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    More about this item

    Keywords

    Fondos de inversión; persistencia; momentum;

    JEL classification:

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

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