ETDs @PUC-Rio
| Título: | AGGREGATE BRAZILIAN MUTUAL FUND STOCKHOLDINGS AND ASSET RETURNS | ||||||||||||
| Autor: |
EDWARD MICHAEL BRADY |
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| Colaborador(es): |
RUY MONTEIRO RIBEIRO - Orientador |
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| Catalogação: | 20/FEV/2020 | Língua(s): | ENGLISH - UNITED STATES |
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| Tipo: | TEXT | Subtipo: | THESIS | ||||||||||
| Notas: |
[pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio. [en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio. |
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| Referência(s): |
[pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=46917&idi=1 [en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=46917&idi=2 |
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| DOI: | https://doi.org/10.17771/PUCRio.acad.46917 | ||||||||||||
| Resumo: | |||||||||||||
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This study aims to investigate whether there is a relationship between aggregate Brazilian mutual fund positions and past, concurrent, and future stock performance. Using monthly fund portfolio data for 30.416 funds between 2006 and 2018 and market data for 84 stocks, several panel data regressions were ran to
test the correlation between stock total returns and both the level and change in mutual fund aggregate long and short positions. In addition, the data was used in testing a long-short investing strategy in which stocks with high fund ownership indicators are purchased and stocks with low fund ownership indicators are sold.
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