Flow induced trading by active and indexed funds: stock share return predictability in Brazil

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dc.contributor.advisorMARCO ANTONIO CESAR BONOMO
dc.contributor.authorCunha, Aline Helena Azevedo
dc.coverage.spatialSão Paulopt_BR
dc.creatorCunha, Aline Helena Azevedo
dc.date.accessioned2021-09-13T03:17:00Z
dc.date.accessioned2016-09-06T13:43:25Z
dc.date.available2021-09-13T03:17:00Z
dc.date.available2015
dc.date.available2016-09-06T13:43:25Z
dc.date.issued2015
dc.date.submitted2015
dc.description.otherThe paper intends to analyze the impact of active and indexed funds’ expected future flows in the return of the stock shares they hold. In order to do so, we built a variable that takes in account how the funds respond to new flows, regarding the transaction of shares, and the expected flow, separating funds classified as Pure Indexing, Closet Indexed and Stock Picking. The results show that the variable helps to explain shares’ return especially in holding periods of four, five and six months. We also built long-short portfolios considering the output of the model and the results show that they perform better than the risk free benchmark in the most part of the period.pt_BR
dc.format.extent23 p.pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/1461
dc.language.isoPortuguêspt_BR
dc.rights.uriTODOS OS DOCUMENTOS DESSA COLEÇÃO PODEM SER ACESSADOS, MANTENDO-SE OS DIREITOS DOS AUTORES PELA CITAÇÃO DA ORIGEMpt_BR
dc.subjectPrice pressurept_BR
dc.subjectfundspt_BR
dc.subjectflow induced tradingpt_BR
dc.subjectlong-short portfoliopt_BR
dc.titleFlow induced trading by active and indexed funds: stock share return predictability in Brazilpt_BR
dc.typemaster thesis
dspace.entity.typePublication
local.contributor.boardmemberBrito, Ricardo Dias De Oliveira
local.contributor.boardmemberRibeiro, Ruy
local.typeDissertaçãopt_BR
relation.isAdvisorOfPublicationd54ec806-4e91-4f4f-8724-e3a23d67b3aa
relation.isAdvisorOfPublication.latestForDiscoveryd54ec806-4e91-4f4f-8724-e3a23d67b3aa
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Mestrado Profissional em Economia