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Revista de Administração de Empresas

Print version ISSN 0034-7590

Abstract

LEUSIN, Liliana de M. C.  and  BRITO, Ricardo D.. Market timing e avaliação de desempenho dos fundos brasileiros. Rev. adm. empres. [online]. 2008, vol.48, n.2, pp.22-36. ISSN 0034-7590.  https://doi.org/10.1590/S0034-75902008000200003.

This work evaluates the performance of Brazilian investment funds vis-à-vis their market timing, in other words, their capacity to preempt differences in the return on shares relative to a fi xed income asset. Parametric and non-parametric tests (as developed by Henriksson and Merton) were used for analyzing the performance of 243 funds for the period between September 1998 and October 2003. Evidence was found of the market timing skills of a minority of fund managers, a result that is apparently due to their greater facility for forecasting any large differences in return between the share market and the risk-free interest rate.

Keywords : Market timing; selection; market efficiency; interest rates; investment funds.

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