Gestão dos fundos de investimentos em ações no Brasil: habilidade, timing e previsão

Abstract

The present work makes an analysis through models that demonstrate the ability of investment fund managers that indicates movements of market anticipation, not with regard about absolute results, but showing an active management in the search for higher levels according to the market trend. Therefore, the work intends apply a benchmark model, that is an equation proposed in Sharpe (1964), Lintner (1965) and Mossin (1966), or Capital Asset Pricing Model (CAPM). In a second step, calculate an extension suggested in Treynor and Mazuy (1966), incorporating a behavior of forecasting or not of managers through the quadratic equation of the fund's excess return in relation to the market's excess return. Finally, a third model, until then not seen in the literature, was applied with the addition of a cubic term in the original equation, where it is possible to research the skill opposite of extreme market fluctuations. Given the long period of analysis, the Bei-perron method will be used to estimate how time breaks selected from the sample. Based on this data identification, the performance cycles of the Ibovespa index will be contextualized, in which the effects will be applied and the application of the models proposed in each cycle.