Transações geradas pelo fluxo de recursos dos fundos e o efeito momento no Brasil
The paper’s goal is test the instutional hypothesis for brazilian stocks momentum. We 'construct' a measure of demand shocks to individual stocks in the following steps: estimate the part of the mutual fund trading that is associated with capital flow; followed by the computation of the ex...
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| Tipo de recurso: | tesis de maestría |
| Estado: | Versión publicada |
| Fecha de publicación: | 2013 |
| País: | Brasil |
| Institución: | Fundação Getulio Vargas (FGV) |
| Repositorio: | Repositório Institucional do FGV (FGV Repositório Digital) |
| Idioma: | portugués |
| OAI Identifier: | oai:repositorio.fgv.br:10438/11922 |
| Acceso en línea: | https://hdl.handle.net/10438/11922 |
| Access Level: | acceso abierto |
| Palabra clave: | Momentum Investment fund Stocks Momento Fundo de investimento Finanças Retorno Economia Ações (Finanças) Ações (Finanças) - Preços Fundos de investimento |
| Sumario: | The paper’s goal is test the instutional hypothesis for brazilian stocks momentum. We 'construct' a measure of demand shocks to individual stocks in the following steps: estimate the part of the mutual fund trading that is associated with capital flow; followed by the computation of the expected flow; and, finally, aggregate the expected flow induced trading across all mutual funds. As conclusion, we found that expected flow induced trading partially explains momentum in more liquid stocks. |
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