Corporate Bonds |
REST |
Corporate Bonds issued with restrict efforts |
Dummy, 1 for indentures issued with restrict efforts following the instruction CVM 476 and 0 for the other cases |
Konraht and Vicente (2017Konraht, J. M., & Vicente, E. F. R. (2017). Determinantes da utilização de covenants contábeis nas debêntures emitidas pelas empresas listadas na B3. XVII USP International Conference in Accounting, São Paulo.) Bragança, Pessoa and Souza (2015Bragança, G. G. F., Pessoa, M. S., & Souza, G. M. (2015). Evolução recente do mercado de debêntures no Brasil: as debêntures incentivadas. Instituto de Pesquisa Econômica Aplicada. Brasília, Rio de Janeiro: Ipea.) Billet, King and Mauer (2007Billet, M. T., King, T. D., & Mauer, D. C. (2007). Growth opportunities and the choice of leverage, debt maturity, and covenants. The Journal of Finance, 62(2), 697-730. https://doi.org/10.1111/j.1540-6261.2007.01221.x
https://doi.org/10.1111/j.1540-6261.2007...
) ANBIMA (2018Associação Brasileira das Entidades dos Mercados Financeiro e de Capitais[Brazilian Financial and Capital Markets Association]. (2018). Boletim de mercado de capitais ANBIMA - 2010 a 2018 [ANBIMA Capital Markets Bulletin - 2010 to 2018]. Retrieved from http://www.anbima.com.br/pt_br/informar/relatorios/mercado-de-capitais/boletim-de-mercado-de-capitais/boletim-de-mercado-de-capitais.htm
http://www.anbima.com.br/pt_br/informar/...
) |
(3) |
INCENT |
Incentivized Corporate Bonds |
Dummy, 1 for incentivized corporate bonds and 0 for the other cases |
REAL |
Kind of Corporate Bonds Guarantee |
Dummy, 1 for indentures with the guarantee is real and 0 for the other cases |
MAT |
Corporate Bonds Maturity |
Dummy, 1 for indentures with maturity equals or lower than three years and 0 for the other cases |
RATE |
Rate of Remuneration of Corporate Bonds |
Bonds Indexers: Dummy, 1 for bonds indexed as a percentage of ID (interbank deposits) rate and 0 for the other cases (IPCA and other rates) |
Companies |
SIZE |
Company Size |
SIZEit= NL(Market Value) where: “nl” represents the natural logarithmic and Market Value representes the product between the stock’s price and the number of stocks of the company |
Fama and French (2015Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22. https://doi.org/10.1016/j.jfineco.2014.10.010
https://doi.org/10.1016/j.jfineco.2014.1...
)* Sobrinho (2016Juvercina Sobrinho, E. (2016). Potenciais efeitos dos dividendos na composição e na performance de fundos de ações no Brasil (Master’s Degree Thesis in Accounting Sciences). Universidade Federal de Uberlândia, Uberlândia.) |
(1) |
BTM |
Book-to-market
|
|
PROF |
Return over the Net Worth |
|
INV |
Investment |
|
NM |
B3’s New Market |
Companies listed at the New Market of B3 |
Ripamonti and Kayo (2016Ripamonti, A., & Kayo, E. K. (2016). Corporate governance and capital structure in Brazil: stock, bonds and substitution. Revista de Administração Mackenzie (RAM), 17(5), 85-109. http://dx.doi.org/10.1590/1678-69712016/administracao.v17n5p85-109
http://dx.doi.org/10.1590/1678-69712016/...
) |
(4) |
Multimarket Funds |
NL(TNA) |
Fund’s Size |
NL(TNA) = Natural Logarithmic of Total Net Assets |
Amin and Kat (2003Amin, G. S., Kat, H. M. (2003). Hedge fund performance 1990-2000: do the ‘money machines’ really add value? Journal of Financial and Quantitative Analysis, 38(2), 251-274. https://doi.org/10.2307/4126750
https://doi.org/10.2307/4126750...
) Rochman and Eid Jr. (2006Rochman, R. R., & Eid Jr., W. (2006). Fundos de investimento ativos e passivos no Brasil: comparando e determinando os seus desempenhos. XXX Encontro da Associação Nacional de Pós-Graduação e Pesquisa em Administração (ENANPAD), Salvador. ) Milani and Ceretta (2013Milani, B., & Ceretta, P. S. (2013, January/March). Efeito tamanho nos fundos de investimento brasileiros. Revista de Administração da UFSM, 6(1), 119-138. https://doi.org/10.5902/198346593607
https://doi.org/10.5902/198346593607...
) Malaquias and Eid Jr. (2014Malaquias, R. F., & Eid Jr., W. (2014). Fundos multimercados: desempenho, determinantes do desempenho e efeito moderador. Revista de Administração Mackenzie, 15(4), 135-163. https://doi.org/10.1590/1678-69712014/administracao.v15n4p135-163
https://doi.org/10.1590/1678-69712014/ad...
) Bono Milan and Eid Jr. (2014Bono Milan, P. L. A., & Eid Jr., W. (2014). Elevada rotatividade de carteiras e o desempenho dos fundos de investimento em ações. Revista Brasileira de Finanças, 12(4), 469-497.) Malaquias and Mamede (2015Malaquias, R. F., & Mamede, S. P. N. (2015). Efeito calendário e finanças comportamentais no segmento de fundos multimercados. Revista de Administração Contemporânea, 19(6), 98-116. http://dx.doi.org/10.1590/1982-7849rac20152062
http://dx.doi.org/10.1590/1982-7849rac20...
) Malaquias and Pontes (2018Malaquias, R. F., & Pontes, G. A. (2018). Restrições de liquidez em fundos de investimentos: uma resposta aos vieses comportamentais? Brazilian Business Review, 15(4), 382-390. https://doi.org/10.15728/bbr.2018.15.4.5
https://doi.org/10.15728/bbr.2018.15.4.5...
) |
(1); (2) |
FoF |
Funds of Funds |
Dummy, 1 for funds of funds and 0 for the other cases |
MGMFee |
Management Fee, charged as a remuneration by the management services |
Represents the maximum management fee charged by the fund in the year (in %) |
PERFFee |
Performance Fee, charged when the profitability of the fund is higher than a benchmark previously established |
Dummy, 1 for funds that charge performance fees and 0 for the other cases |
AGE |
Fund’s Age |
Fund’s Age, in years, until December 31, 2017 |