Since 2014
Performance and Persistence of Brazilian Hedge Funds During the Financial Crisis
Brazilian Review of Finance
View Archive Info| Field | Value | |
| Title |
Performance and Persistence of Brazilian Hedge Funds During the Financial Crisis
Desempenho e Persistência de Hedge Funds Brasileiros Durante a Crise Financeira |
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| Creator |
Joaquim, Gustavo Passarelli Giroud; Insper - Institute of Education and Research
Moura, Marcelo Leite; Insper - Institute of Education and Research |
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| Subject |
Economics; Business; Statistics; Econometrics
multimarket funds; hedge funds; alpha calculation; performance evaluation; persistence; Brazilian funds G11 Economics; Business; Statistics; Econometrics fundos multimercado; fundos de hedge, cálculo de alfa; avaliação de desempenho; persistência; fundos brasileiros. G11 |
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| Description |
This study investigates the performance and persistence of the Brazilian hedge fund market using daily data from September 2007 to February 2011, a period marked by what was characterized by many as the world’s worst financial crisis since the great depression of the 1930s. Despite the financial turmoil, the results indicate the existence of a representative group of funds with abnormal returns and evidence of a joint persistence of funds with time frames of one to three months. Individual evaluations of the funds, however, indicate a reduced number of persistent funds.
Este estudo investiga o desempenho e a persistência do mercado de fundos de hedge no Brasil utilizando dados diários de setembro de 2007 a fevereiro de 2011, um período marcado pelo que foi caracterizado por muitos como a pior crise financeira mundial desde a grande depressão dos anos 1930. Apesar da turbulência nos mercados globais, os resultados indicam a existência de um grupo representativo de fundos com retornos anormais e evidência de persistência conjunta de fundos com prazos de um a três meses. Avaliações individuais dos fundos, no entanto, indicam um número reduzido de fundos que apresentam persistência. |
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| Publisher |
Link to the Brazilian Society of Finance
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| Contributor |
We thank Anbima (Associação Brasileira das Entidades dos Mercados Financeiro e de Capitais – Brazilian Association of Financial and Capital Market Entities) for providing us with the dataset for this study.
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| Date |
2011-07-27
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Double blind reviewed articles Empirical Avaliado por Pares Empirical |
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| Format |
application/pdf
application/pdf |
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/3312
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| Source |
Brazilian Review of Finance; Vol 9, No 4 (2011); 525-548
Revista Brasileira de Finanças; Vol 9, No 4 (2011); 525-548 1984-5146 1679-0731 |
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| Language |
por
eng |
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/3312/2378
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/3312/2379 |
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