Stochastic frontiers of efficiency for Brazilian investment funds: a panel data analysis
Foundations, methodological and empirical possibilities of measurement and analysis in the performance of financial investments within investment funds have been developed since they were once introduced in the 1970s, thus establishing a path of growing acceptance in financial markets and universiti...
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| Format: | Article |
| Language: | English |
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LLC "CPC "Business Perspectives"
2019-12-01
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| Series: | Investment Management & Financial Innovations |
| Subjects: | |
| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/12936/IMFI_2019_04_Agudo.pdf |
| _version_ | 1826910571058954240 |
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| author | Luis Ferruz Agudo João Serafim Tusi da Silveira Daniel Knebel Baggio Isoé Nícolas Schneider Maria Margarete Baccin Brizolla |
| author_facet | Luis Ferruz Agudo João Serafim Tusi da Silveira Daniel Knebel Baggio Isoé Nícolas Schneider Maria Margarete Baccin Brizolla |
| author_sort | Luis Ferruz Agudo |
| collection | DOAJ |
| description | Foundations, methodological and empirical possibilities of measurement and analysis in the performance of financial investments within investment funds have been developed since they were once introduced in the 1970s, thus establishing a path of growing acceptance in financial markets and universities’ academies. The first approaches over the efficiency of these funds, considering their stochastic implications, occurred in the late 1990s and have evolved with the help of SFA – Stochastic Frontier Analysis, although it still needs more careful verification. This article measured and analyzed the stochastic frontier of efficiency over 33 different Brazilian investment funds from 2012 to 2015. For doing so, Battese and Coelli’s (1995) specifications was used. It shows the effects of inefficiencies, which are defined as explicit functions of specific factors in the context of panel data funds. They are estimated by the maximum likelihood method. Sharpe ratios (SR) were also calculated for comparative purposes. Based on these two indicators (SFA and SR), the most recommendable funds to invest and the ones in which the application should not be performed were identified. Such procedures have stimulated the necessary and promising studies, as well as future researches, which, in turn, may establish new methodological formulation as an efficient and effective instrument to choose the best and the safest funds to invest. |
| first_indexed | 2024-12-11T17:39:41Z |
| format | Article |
| id | doaj.art-ad896c11b0cc41f2bee5ca4dd43853a1 |
| institution | Directory Open Access Journal |
| issn | 1810-4967 1812-9358 |
| language | English |
| last_indexed | 2025-02-17T10:01:22Z |
| publishDate | 2019-12-01 |
| publisher | LLC "CPC "Business Perspectives" |
| record_format | Article |
| series | Investment Management & Financial Innovations |
| spelling | doaj.art-ad896c11b0cc41f2bee5ca4dd43853a12025-01-02T03:58:13ZengLLC "CPC "Business Perspectives"Investment Management & Financial Innovations1810-49671812-93582019-12-0116435236510.21511/imfi.16(4).2019.3012936Stochastic frontiers of efficiency for Brazilian investment funds: a panel data analysisLuis Ferruz Agudo0https://orcid.org/0000-0002-3816-9747João Serafim Tusi da Silveira1https://orcid.org/0000-0002-0720-5020Daniel Knebel Baggio2https://orcid.org/0000-0002-6167-2682Isoé Nícolas Schneider3https://orcid.org/0000-0002-2806-5135Maria Margarete Baccin Brizolla4https://orcid.org/0000-0002-5120-0729Doctor in Accounting and Finance, Department of Accounting and Finance, University of ZaragozaDoctor in Production Engineering, Professor, Federal University of Santa CatarinaDoctor in Accounting and Finance, Professor, Universidade Regional Integrada e das Missões e Universidade Regional do Noroeste do Estado do Rio Grande do Sul – UNIJUIMaster in Regional Development, DACEC, Universidade Regional do Noroeste do Estado do Rio Grande do Sul – UNIJUÍDoctor in Accounting and Administration, Professor, Universidade Regional do Noroeste do Estado do Rio Grande do Sul – UNIJUIFoundations, methodological and empirical possibilities of measurement and analysis in the performance of financial investments within investment funds have been developed since they were once introduced in the 1970s, thus establishing a path of growing acceptance in financial markets and universities’ academies. The first approaches over the efficiency of these funds, considering their stochastic implications, occurred in the late 1990s and have evolved with the help of SFA – Stochastic Frontier Analysis, although it still needs more careful verification. This article measured and analyzed the stochastic frontier of efficiency over 33 different Brazilian investment funds from 2012 to 2015. For doing so, Battese and Coelli’s (1995) specifications was used. It shows the effects of inefficiencies, which are defined as explicit functions of specific factors in the context of panel data funds. They are estimated by the maximum likelihood method. Sharpe ratios (SR) were also calculated for comparative purposes. Based on these two indicators (SFA and SR), the most recommendable funds to invest and the ones in which the application should not be performed were identified. Such procedures have stimulated the necessary and promising studies, as well as future researches, which, in turn, may establish new methodological formulation as an efficient and effective instrument to choose the best and the safest funds to invest.https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/12936/IMFI_2019_04_Agudo.pdfefficiencyinvestment fundsperformance |
| spellingShingle | Luis Ferruz Agudo João Serafim Tusi da Silveira Daniel Knebel Baggio Isoé Nícolas Schneider Maria Margarete Baccin Brizolla Stochastic frontiers of efficiency for Brazilian investment funds: a panel data analysis Investment Management & Financial Innovations efficiency investment funds performance |
| title | Stochastic frontiers of efficiency for Brazilian investment funds: a panel data analysis |
| title_full | Stochastic frontiers of efficiency for Brazilian investment funds: a panel data analysis |
| title_fullStr | Stochastic frontiers of efficiency for Brazilian investment funds: a panel data analysis |
| title_full_unstemmed | Stochastic frontiers of efficiency for Brazilian investment funds: a panel data analysis |
| title_short | Stochastic frontiers of efficiency for Brazilian investment funds: a panel data analysis |
| title_sort | stochastic frontiers of efficiency for brazilian investment funds a panel data analysis |
| topic | efficiency investment funds performance |
| url | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/12936/IMFI_2019_04_Agudo.pdf |
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