Alguns gestores de fundos de ações são melhores do que outros? Uma análise cross-sectional das características dos gestores e do desempenho dos fundos

A área de fundos de investimento tem crescido no Brasil nos últimos 7 anos. Movimento semelhante tem sido observado no percentual destinado a fundos de ações. Parte deste movimento pode ser creditado à entrada de atores sem familiaridade com o universo financeiro, mas que vislumbram neste segmento uma oportunidade para investir seu dinheiro. O desconhecimento do funcionamento do universo financeiro leva o novo investidor a eleger critérios para seleção de onde alocar os seus recursos, já que se espera que um gestor profissional faça as melhores escolhas. Segundo Chevalier & Ellison (1999), a imprensa financeira produz um grande volume e variedade de informação sobre as pessoas que gerenciam esses fundos, mas pouco se fala de seus antecedentes educacionais. Este trabalho tem como objetivo analisar se o desempenho dos fundos de ações esta relacionado com as características dos gestores desses fundos. Em particular, se estudou a relação entre o desempenho dos fundos e a formação dos gestores, a qualidade das escolas em que cursaram, bem como o fato de possuírem pós-graduação Lato Sensu ou Stricto Sensu, além da idade e seu “tempo de experiência” no mercado financeiro. Utilizamos como base os dados coletados pelo sistema QUANTUN AXIS (Quantun Avaliação de Fundos de Investimento), tendo como referência o período de setembro/2007 a 2008. Consultamos currículos dos 81 gestores da amostra por meio de buscas aos sites das empresas administradoras, consulta por telefone aos gestores, e currículos via difusores de informação como o Bloomberg. Foram então realizadas as análises Cross-Section. Para tal, foi utilizada uma corrente de investigação que analisou o impacto dos antecedentes educacionais dos gestores de fundos sobre os resultados dos mesmos nos EUA, destacando os trabalhos de Golec (1996), Chevalier & Ellison (1999) e Gottesman & Morey (2006). O resultado deste trabalho sugere que existe diferença na análise cross-sectional entre o desempenho dos fundos de ações no Brasil e a qualidade do curso de graduação do gestor. Futuras pesquisas poderiam, utilizando a mesma amostra de gestores, acompanhar a evolução dos dados do currículo em comparação ao desempenho dos fundos administrados em uma perspectiva temporal utilizando dados de painel.

Integrability and the demand for monetary assets: an alternative approach to an old problem

This note provides necessary and su¢cient conditions for some speci…c multidimensional consumer’s surplus welfare measures to be well posed (path independent). We motivate the problem by investigating partial-equilibrium measures of the welfare costs of in‡ation. The results can also be used for checking path independence of alternative de…nitions of Divisia indexes of monetary services. Consumer theory classically approaches the integrability problem by considering compensated demands, homothetic preferences or quasi-linear utility functions. Here, instead, we consider demands of monetary assets generated from a shopping-time perspective. Paralleling the above mentioned procedure, of …nding special classes of utility functions that satisfy the integrability conditions, we try to infer what particular properties of the transacting technology could assure path independence of multidimensional welfare measures. We show that the integrability conditions are satis…ed if and only if the transacting technology is blockwise weakly separable. We use two examples to clarify the point.

A new perspective on the PPP hypothesis

This paper the stastistical properties of the real exchange rates of G-5 countries for the Bretton-Woods peiod, and draw implications on the purchasing power parity (PPP) hypothesis. In contrast to most previous studies that consider only unit root and stationary process to describe the real exchange tae, this paper also considers two in-between processes, the locally persistent process ans the fractionally integrated process, to complement past studies. Seeking to be consistent with tha ample evidence of near unit in the real exchange rate movements very well. This finding implies that: 1) the real exchange movement is more persistent than the stationary case but less persistent than the unit root case; 2) the real exchange rate is non-stationary but the PPP reversion occurs and the PPP holds in the long run; 3) the real exchange rate does not exhibit the secular dependence of the fractional integration; 4) the real exchange rate evolves over time in a way that there is persistence over a range of time, but the effect of shocks will eventually disappear over time horizon longer than order O (nd), that is, at finite time horizon; 5) shocks dissipation is fasters than predicted by the fractional integracion, and the total sum of the effects of a unit innovation is finite, implying that a full PPP reversion occurs at finite horizons. These results may explain why pasrt empirical estudies could not provide a clear- conclusion on the real exchange rate processes and the PPP hypothesis.

Three essays on education from the perspective of the economics of public setor

This work consists of three essays organized into chapters that seek to answer questions at first sight unrelated, but with one common denominator, which is the scarcity of public resources devoted to education, overall, especially in lower education. . The first chapter deals with the scarcity of resources devoted to education in a context of population aging. Two hypotheses were tested for Brazilian municipalities on the relationship between the aging of the population and educational expenditure. The first, already proven in the literature, is that there is an intergenerational conflict for resources and the increase of the share of elderly in the population reduces the educational expenditure. The second, proposed here for the first time, is that there should be reduction of competition for resources if there is a relationship of co-residence between young and old. The results indicated that an increase in the share of elderly reduces the educational expenditure per youth. But the results also illustrate that an increase in the share of elderly co-residing with youth (family arrangement more common in Latin American countries) raises the educational expenditure, which reflects a reduction of competition for resources between generations. The second chapter assesses the allocative efficiency of investments in Higher Education. Using the difference between first-year and last-year students’ scores from Enade aggregated by HEI as a product in the Stochastic Production Function, is possible to contribute with a new element in the literature aimed at estimating the production function of education. The results show that characteristics of institutions are the variables that best explain the performance of students, and that public institutions are more inefficient than the private ones. Finally, the third chapter presents evidence that the allocation of public resources in early childhood education is important for a better future school performance. In this chapter was calculated the effects of early childhood education on literacy scores of children attending the 2nd grade of elementary school. The results using OLS and propensity score matching show that students who started school at the ages to 5, 4, and 3 years had literacy scores between 12.22 and 19.54 points higher than the scores of those who began school at the ages 6 years or late. The results also suggest that the returns in terms of literacy scores diminish in relation to the number of years of early childhood education.

Career concerns: a human capital perspective

We introduce human capital accumulation, in the form of learning by doing, in a life cycle model of career concerns and analyze how human capital acquisition a ects implicit incentives for performance. We show that standard results from the career concerns literature can be reversed in the presence of human capital accumulation. Namely, implicit incentives need not decrease over time and may decrease with the degree of uncertainty about an individual's talent. Furthermore, increasing the pre-cision of output measurement can weaken rather than strengthen implicit incentives. Overall, our results contribute to shed new light on the ability of markets to discipline moral hazard in the absence of explicit contracts linking pay to performance.

Operations strategy in perspective: the means for achieving superior performance

Manufacturing strategy has been widely studied and it is increasingly gaining attention. It has a fundamental role that is to translate the business strategy to the operations by developing the capabilities that are needed by the company in order to accomplish the desired performance. More precisely, manufacturing strategy comprises the decisions that managers take during a certain period of time in order to achieve a desire result. These decisions are related to which operational practices and resources are implemented. Our goal was to identify the relationship between these two decisions with operational performance. We based our arguments on the resource-based view for identifying sources of competitive advantage. Hence, we argued that operational practices and resources affect positively the operational performances. Additionally, we proposed that in the presence of some resources the implementation of operational practices would lead to a greater performance. We used previous scales for measuring operational practices and performance, and developed new constructs for resources. The data used is part of the High Performance Manufacturing project and the sample is composed by 291 plants. Through confirmatory factor analysis and multiple regressions we found that operational practices to a certain extant are positively related to operational performance. More specifically, the results show that JIT and customer orientation practices have a positive relationship with quality, delivery, flexibility, and cost performances. Moreover, we found that resources like technology and people explain a great variance of operational performance.

The Brazilian foreign exchange market through the microstructure perspective

The objective of this study is to investigate whether the relationship between order ow and the spot exchange rate stems from the fact that the ow aggregates information on dispersed economic fundamentals in the economy. To perform this test, a database that includes all transactions of the commercial and nancial segments of the Brazilian primary foreign exchange market between January of 1999 and May of 2008 was used. We show that the order ow was partly responsible for variations in in ation expectations over the time period and that this relationship did not remain robust, drawing comparisons with other fundamentals such as GDP and Industrial Production.