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Exposição a Risco e Captação em Fundos de Investimento: os Cotistas Monitoram a Alocação de Ativos?

Authors :
Diego Lins de Albuquerque Pennachi Tejerina
Rafael Felipe Schiozer
Source :
Brazilian Review of Finance. 11:527
Publication Year :
2013
Publisher :
Fundacao Getulio Vargas, 2013.

Abstract

This study investigates the impact of asset allocation on the net flow of fixed income funds in the Brazilian market, by exploiting the exogenous variation in the risk perception of bank liabilities (CDs) caused by the financial turmoil that followed Lehman Brothers’ demise in September 2008. The central hypothesis is that the exposure to assets negatively affected by the crisis impacts negatively the fund’s net flow. We find that, for mutual funds, the larger proportion of assets negatively affected by the crisis the larger the net outflow of resources, indicating that shareholders monitor asset allocation and exert disciplining power on fund managers by withdrawing their resources. In exclusive (fundos exclusivos, i.e., funds with a single shareholder), for which the shareholder is presumed to exert more influence on asset reallocation, we find no significant relationship between the exposure to assets negatively affected by the crisis and net flows.

Details

ISSN :
19845146 and 16790731
Volume :
11
Database :
OpenAIRE
Journal :
Brazilian Review of Finance
Accession number :
edsair.doi...........a801c5fe5e864d5683717df766d35268
Full Text :
https://doi.org/10.12660/rbfin.v11n4.2013.10295