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Persistencia de resultados en los fondos de inversión españoles

  • Alfredo Ciriaco Fernández

    (Universidad Pública de Navarra)

  • Rafael Santamaría Aquilué

    (Universidad Pública de Navarra)

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    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.

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    Article provided by Fundación SEPI in its journal Investigaciones Economicas.

    Volume (Year): 29 (2005)
    Issue (Month): 3 (September)
    Pages: 525-573

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    Handle: RePEc:iec:inveco:v:29:y:2005:i:3:p:525-573
    Contact details of provider: Postal: Investigaciones Economicas Fundación SEPI Quintana, 2 (planta 3) 28008 Madrid Spain
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