Investor sentiment and equity mutual fund performance in Brazil.

Registro completo de metadados
MetadadosDescriçãoIdioma
Autor(es): dc.creatorSilva, Sabrina Espinele da-
Autor(es): dc.creatorFonseca, Simone Evangelista-
Autor(es): dc.creatorRoma, Carolina Magda da Silva-
Autor(es): dc.creatorHan, Seung Hun-
Autor(es): dc.creatorIquiapaza, Robert Aldo-
Data de aceite: dc.date.accessioned2025-08-21T15:18:58Z-
Data de disponibilização: dc.date.available2025-08-21T15:18:58Z-
Data de envio: dc.date.issued2025-07-17-
Data de envio: dc.date.issued2024-
Fonte completa do material: dc.identifierhttps://www.repositorio.ufop.br/handle/123456789/20548-
Fonte completa do material: dc.identifierhttps://doi.org/10.1108/JEFAS-12-2023-0280-
Fonte: dc.identifier.urihttp://educapes.capes.gov.br/handle/capes/1010170-
Descrição: dc.descriptionPurpose– Focusing on the Brazilian equity mutual fund industry, this study analyzes whether including theinvestor sentiment index in asset pricing models is important for explaining fund alpha. Design/methodology/approach– The investor sentiment index and risk factors in the Fama and French(1993)and Carhart (1997) models were estimated, the risk-adjusted performance of a sample of equity mutual funds inBrazil was evaluated, and a United States (US) sample was included for a complementary perspective. Thesample period spans 2010–2019 for Brazil and 2010–2018 for the US. Findings– The results contrasted with those evidenced in the US, where the sentiment index was an importantfactor in explaining the probability of alpha occurrence, especially in the case of winner funds, defined as those exhibiting a positive and statistically significant alpha at the 5% level. Overall, the findings suggest that, in the Brazilian market, pricing models incorporating investor sentiment as an additional factor fail to adequately capture the out performance probability of equity mutual funds.These results suggest that the factors influencing fund performance may differ between the two countries and highlight the relevance of developing moresuitable investor sentiment indicators for emerging markets. Originality/value– This study examines the impact of the sentiment index on the performance of equity mutual funds in Brazil, specifically its influence on alpha generation.-
Formato: dc.formatapplication/pdf-
Idioma: dc.languageen-
Direitos: dc.rightsaberto-
Direitos: dc.rightsThis article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. Fonte: PDF do artigo.-
Palavras-chave: dc.subjectSentiment index-
Palavras-chave: dc.subjectAsset pricing models-
Palavras-chave: dc.subjectEquity funds-
Palavras-chave: dc.subjectFund performance-
Título: dc.titleInvestor sentiment and equity mutual fund performance in Brazil.-
Aparece nas coleções:Repositório Institucional - UFOP

Não existem arquivos associados a este item.