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Avaliação do desempenho de fundos de investimento: aplicação do modelo de Henriksson e Merton e sua extensão à Arbitrage Pricing Theory
| Content Provider | Semantic Scholar |
|---|---|
| Author | Romacho, João Carlos Cortez, Maria Céu |
| Copyright Year | 2005 |
| Abstract | In this paper, we apply the Henriksson and Merton (1981) model in the original version and as well as in the context of Arbitrage Pricing Theory, with the purpose of investigating timing and selectivity abilities of Portuguese mutual funds (national, European Union and internacional funds). The results obtained with the two versions are similar and suggest that fund managers do not possess selectivity and timing skills, and there is even some evidence of negative timing. In both versions we can also observe a high negative correlation between these two components of performance, being stronger in the case of international funds. This type of evidence has also been found in other studies and is consistent with the efficient market hypothesis. In addition, evidence of weak specification of the market portfolio and/or the omission of relevant factors in the model was found, as well as similar investment strategies among the funds. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://idus.us.es/xmlui/bitstream/handle/11441/80507/Avalia%C3%A7ao_do_desempenho_de_fundos_de_investimento.pdf?isAllowed=y&sequence=1 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
