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 |
| Summary: | 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. |
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| ISSN: | 1415-6555 1982-7849 |