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.

Implications of ernbodied technological change for development economics

Employing a embodied technologic change model in which the time decision of scrapping old vintages of capital and adopt newer one is endogenous we show that the elasticity of substitutions among capital and labor plays a key role in determining the optimum life span of capital. In particular, for the CD case the life span of capital does not depend on the relative price of it. The estimation of the model's long-run investment function shows, for a Panel data set consisting of 125 economies for 25 years, that the price elasticity of investment is lower than one; we rejected the CD specification. Our calibration for the US suggests 0.4 for the technical elasticity of substitution. In order to get a theoretical consistent concept of aggregate capital we derive the relative price profile for a shadow second-hand market for capital. The shape of the model's theoretical price curve reproduces the empírical estimation of it. \lVe plug the calibrate version of the long-run solution of the model to a cross-section of economies data set to get the implied TFP, that is, the part of the productivity which is not explained by the model. We show that the mo dei represent a good improvement, comparing to the standard neoc!assical growth model with CD production function and disembodied technical change, in accounting the world diversity in productivity. In addition the model describes the fact that a very poor economy can experience fast growth based on capital accumulation until the point of becoming a middle income economy; from this point on it has to rely on TFP increase in order to keep growing.

Theoretical and empirical essays on microeconometrics

This Master Thesis consists of one theoretical article and one empirical article on the field of Microeconometrics. The first chapter\footnote{We also thank useful suggestions by Marinho Bertanha, Gabriel Cepaluni, Brigham Frandsen, Dalia Ghanem, Ricardo Masini, Marcela Mello, Áureo de Paula, Cristine Pinto, Edson Severnini and seminar participants at São Paulo School of Economics, the California Econometrics Conference 2015 and the 37\textsuperscript{th} Brazilian Meeting of Econometrics.}, called \emph{Synthetic Control Estimator: A Generalized Inference Procedure and Confidence Sets}, contributes to the literature about inference techniques of the Synthetic Control Method. This methodology was proposed to answer questions involving counterfactuals when only one treated unit and a few control units are observed. Although this method was applied in many empirical works, the formal theory behind its inference procedure is still an open question. In order to fulfill this lacuna, we make clear the sufficient hypotheses that guarantee the adequacy of Fisher's Exact Hypothesis Testing Procedure for panel data, allowing us to test any \emph{sharp null hypothesis} and, consequently, to propose a new way to estimate Confidence Sets for the Synthetic Control Estimator by inverting a test statistic, the first confidence set when we have access only to finite sample, aggregate level data whose cross-sectional dimension may be larger than its time dimension. Moreover, we analyze the size and the power of the proposed test with a Monte Carlo experiment and find that test statistics that use the synthetic control method outperforms test statistics commonly used in the evaluation literature. We also extend our framework for the cases when we observe more than one outcome of interest (simultaneous hypothesis testing) or more than one treated unit (pooled intervention effect) and when heteroskedasticity is present. The second chapter, called \emph{Free Economic Area of Manaus: An Impact Evaluation using the Synthetic Control Method}, is an empirical article. We apply the synthetic control method for Brazilian city-level data during the 20\textsuperscript{th} Century in order to evaluate the economic impact of the Free Economic Area of Manaus (FEAM). We find that this enterprise zone had positive significant effects on Real GDP per capita and Services Total Production per capita, but it also had negative significant effects on Agriculture Total Production per capita. Our results suggest that this subsidy policy achieve its goal of promoting regional economic growth, even though it may have provoked mis-allocation of resources among economic sectors.

Heat transfer in laminar flow of non-Newtonian fluids in ducts of elliptical section

Laminar forced convection inside tubes of various cross-section shapes is of interest in the design of a low Reynolds number heat exchanger apparatus. Heat transfer to thermally developing, hydrodynamically developed forced convection inside tubes of simple geometries such as a circular tube, parallel plate, or annular duct has been well studied in the literature and documented in various books, but for elliptical duct there are not much work done. The main assumption used in this work is a laminar flow of a power flow inside elliptical tube, under a boundary condition of first kind with constant physical properties and negligible axial heat diffusion (high Peclet number). To solve the thermally developing problem, we use the generalized integral transform technique (GITT), also known as Sturm-Liouville transform. Actually, such an integral transform is a generalization of the finite Fourier transform where the sine and cosine functions are replaced by more general sets of orthogonal functions. The axes are algebraically transformed from the Cartesian coordinate system to the elliptical coordinate system in order to avoid the irregular shape of the elliptical duct wall. The GITT is then applied to transform and solve the problem and to obtain the once unknown temperature field. Afterward, it is possible to compute and present the quantities of practical interest, such as the bulk fluid temperature, the local Nusselt number and the average Nusselt number for various cross-section aspect ratios. (C) 2006 Elsevier. SAS. All rights reserved.

Search for single top quark production in pp collisions at root s=1.96 TeV

We present a search for electroweak production of single top quarks in the s-channel and t-channel using neural networks for signal-background separation. We have analyzed 230 pb(-1) of data collected with the DO detector at the Fermilab Tevatron Collider at a center-of-mass energy of 1.96 TeV and find no evidence for a single top quark signal. The resulting 95% confidence level upper limits on the single top quark production cross sections are 6.4 pb in the s-channel and 5.0 ph in the t-channel. (c) 2005 Elsevier B.V. All rights reserved.

Search for a heavy resonance decaying into a Z plus jet final state in p(p)over-bar collisions at root s=1.96 TeV using the D0 detector

We have searched for a heavy resonance decaying into a Z+jet final state in p (p) over bar collisions at a center of mass energy of 1.96 TeV at the Fermilab Tevatron collider using the D0 detector. No indication for such a resonance was found in a data sample corresponding to an integrated luminosity of 370 pb(-1). We set upper limits on the cross section times branching fraction for heavy resonance production at the 95% C.L. as a function of the resonance mass and width. The limits are interpreted within the framework of a specific model of excited quark production.

Search for stopped gluinos from p(p)over-bar collisions at root s=1.96 TeV

Long-lived, heavy particles are predicted in a number of models beyond the standard model of particle physics. We present the first direct search for such particles' decays, occurring up to 100 h after their production and not synchronized with an accelerator bunch crossing. We apply the analysis to the gluino (g), predicted in split supersymmetry, which after hadronization can become charged and lose enough momentum through ionization to come to rest in dense particle detectors. Approximately 410 pb(-1) of p (p) over bar collisions at root s = 1.96 TeV collected with the D0 detector during Run II of the Fermilab Tevatron collider are analyzed in search of such stopped gluinos decaying into a gluon and a neutralino ((chi) over tilde (0)(1)). Limits are placed on the (gluino cross section) x (probability to stop) x [BR((g) over tilde -> g (chi) over tilde (0)(1))] as a function of the gluino and (chi) over tilde (0)(1) masses, for gluino lifetimes from 30 mu s-100 h.

Multivariate searches for single top quark production with the D0 detector

We present a search for electroweak production of single top quarks in the s-channel (p (p) over bar -> t (b) over bar +X) and t-channel (p (p) over bar -> tq (b) over bar +X) modes. We have analyzed 230 pb(-1) of data collected with the D0 detector at the Fermilab Tevatron Collider at a center-of-mass energy of root s=1.96 TeV. No evidence for a single top quark signal is found. We set 95% confidence level upper limits on the production cross sections, based on binned likelihoods formed from a neural network output. The observed (expected) limits are 6.4 pb (4.5 pb) in the s-channel and 5.0 pb (5.8 pb) in the t-channel.

Measurement of sigma(p(p)over-bar -> Z)center dot Br(Z ->tau tau) at root s=1.96 TeV

We present a measurement of the cross section for Z production times the branching fraction to tau leptons, sigma.Br(Z ->tau(+)tau(-)), in p (p) over bar collisions at root s=1.96 TeV in the channel in which one tau decays into mu nu(mu)nu(tau), and the other into hadrons+nu(tau) or e nu(e)nu(tau). The data sample corresponds to an integrated luminosity of 226 pb(-1) collected with the D0 detector at the Fermilab Tevatron collider. The final sample contains 2008 candidate events with an estimated background of 55%. From this we obtain sigma.Br(Z ->tau(+)tau(-)) = 237 +/- 15(stat)+/- 18(sys)+/- 15(lum)pb, in agreement with the standard model prediction.

Search for single top quarks in the tau plus jets channel using 4.8 fb(-1) of p(p)over-bar collision data

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Measurement of sigma(p(p)over-bar -> Z plus X)Br(Z -> tau(+)tau(-)) at root s=1.96 TeV

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Measurement of Z/gamma* plus jet plus X angular distributions in p(p)over-bar collisions at root s=1.96 TeV

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Measurements of inclusive W plus jets production rates as a function of jet transverse momentum in p(p)over-bar collisions root s=1.96 TeV

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Search for three-jet resonances in pp collisions at root s=7 TeV

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Measurement of three-jet differential cross sections d sigma(3jet)/dM(3jet) in p(p)over-bar collisions at root s=1.96 TeV

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)