Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados
The aim of this paper was to analyze the relationship between Mondays and the profitability provided by Brazilian hedge funds. We used a data basis composed of 3,337 hedge funds, totaling 3,529,808 observations of daily data, during the period from January 2005 until September 2013. To test the hy...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)
2015-05-01
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| Series: | RAC: Revista de Administração Contemporânea |
| Subjects: | |
| Online Access: | http://www.anpad.org.br/periodicos/arq_pdf/a_1584.pdf |
| _version_ | 1797725344830062592 |
|---|---|
| author | Rodrigo Fernandes Malaquias Samuel de Paiva Naves Mamede |
| author_facet | Rodrigo Fernandes Malaquias Samuel de Paiva Naves Mamede |
| author_sort | Rodrigo Fernandes Malaquias |
| collection | DOAJ |
| description | The aim of this paper was to analyze the relationship between Mondays and the profitability provided by Brazilian
hedge funds. We used a data basis composed of 3,337 hedge funds, totaling 3,529,808 observations of daily data,
during the period from January 2005 until September 2013. To test the hypothesis, we used regression with panel
data and we inserted control variables in the model that the literature points out as relevant. The main results
showed that the Monday effect also occurs in the hedge funds segment and this effect is intensified in periods of
financial crisis. However, we show that the effect is not consistent across all sub-categories of hedge funds. The
results were persistent for funds which don’t have a redemption period, as well as for the control for the Ibovespa
daily returns. The discussion was mainly based on Behavioral Finance Theory in seeking potential explanations
for this anomaly. |
| first_indexed | 2024-03-12T10:29:50Z |
| format | Article |
| id | doaj.art-8519a6ab63dc4e84b905b61dacbf8910 |
| institution | Directory Open Access Journal |
| issn | 1415-6555 1982-7849 |
| language | English |
| last_indexed | 2024-03-12T10:29:50Z |
| publishDate | 2015-05-01 |
| publisher | Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD) |
| record_format | Article |
| series | RAC: Revista de Administração Contemporânea |
| spelling | doaj.art-8519a6ab63dc4e84b905b61dacbf89102023-09-02T09:20:37ZengAssociação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)RAC: Revista de Administração Contemporânea1415-65551982-78492015-05-0119Special98116http://dx.doi.org/10.1590/1982-7849rac20152062Efeito Calendário e Finanças Comportamentais no Segmento de Fundos MultimercadosRodrigo Fernandes Malaquias0Samuel de Paiva Naves Mamede1Universidade Federal de Uberlândia – UFUUniversidade Federal de Uberlândia – UFUThe aim of this paper was to analyze the relationship between Mondays and the profitability provided by Brazilian hedge funds. We used a data basis composed of 3,337 hedge funds, totaling 3,529,808 observations of daily data, during the period from January 2005 until September 2013. To test the hypothesis, we used regression with panel data and we inserted control variables in the model that the literature points out as relevant. The main results showed that the Monday effect also occurs in the hedge funds segment and this effect is intensified in periods of financial crisis. However, we show that the effect is not consistent across all sub-categories of hedge funds. The results were persistent for funds which don’t have a redemption period, as well as for the control for the Ibovespa daily returns. The discussion was mainly based on Behavioral Finance Theory in seeking potential explanations for this anomaly.http://www.anpad.org.br/periodicos/arq_pdf/a_1584.pdfcalendar effect; market efficiency; market anomaly. |
| spellingShingle | Rodrigo Fernandes Malaquias Samuel de Paiva Naves Mamede Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados RAC: Revista de Administração Contemporânea calendar effect; market efficiency; market anomaly. |
| title | Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados |
| title_full | Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados |
| title_fullStr | Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados |
| title_full_unstemmed | Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados |
| title_short | Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados |
| title_sort | efeito calendario e financas comportamentais no segmento de fundos multimercados |
| topic | calendar effect; market efficiency; market anomaly. |
| url | http://www.anpad.org.br/periodicos/arq_pdf/a_1584.pdf |
| work_keys_str_mv | AT rodrigofernandesmalaquias efeitocalendarioefinancascomportamentaisnosegmentodefundosmultimercados AT samueldepaivanavesmamede efeitocalendarioefinancascomportamentaisnosegmentodefundosmultimercados |