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Doctoral Thesis
DOI
10.11606/T.12.2017.tde-21062017-100847
Document
Author
Full name
Elaine Cristina Borges
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2017
Supervisor
Committee
Martelanc, Roy (President)
Costa Junior, Newton Carneiro Affonso da
Eid Junior, William
Kayo, Eduardo Kazuo
Minardi, Andrea Maria Accioly Fonseca
Title in Portuguese
O impacto do investidor institucional no preço das ações
Keywords in Portuguese
Ações
Efeito manada
Fundos de investimento
Investidor institucional
Preço de ações
Abstract in Portuguese
Este trabalho estuda o impacto do efeito manada do investidor institucional no preço futuro das ações no Brasil. Segundo a literatura internacional, ações compradas (vendidas) pela indústria de fundos de investimentos têm seus preços aumentados (diminuídos) no curto prazo, de 1 a 6 meses. Já no longo prazo, esse efeito se inverte, corroborando a hipótese desestabilizadora de preços do efeito manada dos fundos. Foram realizadas análises em painel com efeitos fixos dos dados mensais da carteira de todos os fundos de investimento brasileiros de 2009 a 2015 e os resultados corroboram parcialmente as expectativas, ações compradas pelos fundos, com persistência positiva, apresentam queda nos retornos futuros, e as ações vendidas pelos fundos, com persistência negativa, sofrem aumento de retornos futuros. Quando separada a variável persistência em persistência de compra e persistência de venda, os resultados são ainda mais surpreendentes, ocorre que as ações compradas pelos fundos apresentam um resultado futuro muito positivo, entretanto as ações vendidas pelos fundos apresentam um retorno futuro, tanto no curto quanto no longo prazo, superior ao das ações compradas. Fundos ativos e pequenos comprando e vendendo ações small caps apresentam um efeito ainda mais forte.
Title in English
The impact of institutional investors on stock prices
Keywords in English
Herding
Institutional investors
Mutual funds
Stock prices.
Stocks
Abstract in English
This paper studies the impact of institutional herding on stock prices in Brazil. According to international papers, stocks bought (sold) by the fund industry have their prices increased (decreased) in the short term, from 1 to 6 months. In the long term, this effect is reversed, corroborating the destabilizing hypothesis of the institutional herding on prices. Fixed effects panel analyses were performed with the monthly portfolio data of all stocks held by Brazilian investment funds from 2009 to 2015 and the results partially corroborate expectations, stocks purchased by the funds, with positive persistence, decline in future returns, and stocks sold by the funds, with negative persistence, suffer an increase of future returns. When we separate the persistence variable into persistence of purchase and persistence of sale, the results are even more surprising, it happens that the shares bought by the funds present a very positive result in the following months, however the shares sold by the funds present a future return, both in the short and in the long run, higher than the shares purchased. Small and active funds buying and selling small caps have an even stronger effect.
 
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CorrigidaElaine.pdf (1.93 Mbytes)
Publishing Date
2017-06-26
 
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