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Assessing Market Timing Performance of Brazilian Multi-Asset Pension Funds using the Battese and Coelli's Stochastic Frontier Model (1995)

Isoé Schneider (), Daniel Baggio (), João Tusi da Silveira () and Maria Baccin Brizolla ()
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Isoé Schneider: Universidade Regional do Noroeste do Estado do Rio Grande do Sul - UNIJUÃ
Daniel Baggio: Universidade Regional do Noroeste do Estado do Rio Grande do Sul - UNIJUà / URI Santo Ângelo
João Tusi da Silveira: Universidade Federal de Santa Catarina - UFSC
Maria Baccin Brizolla: Universidade Regional do Noroeste do Estado do Rio Grande do Sul - UNIJUÃ

Economics Bulletin, 2020, vol. 40, issue 1, 50-60

Abstract: In this paper, we used the SFA (Stochastic Frontier Analysis) approach to evaluate the efficiency of 170 Brazilian multi-asset pension funds in the period from 2013 to 2017, which aims to assess the skill level of fund managers to outperform the benchmarks. The adoption of the Battese and Coelli's (1995) stochastic frontier model in market-timing analysis is new and the obtained empirical results are promising for future replications including for other types of pension funds, explanatory variables and observation periods, in different data models.

Keywords: Pension Funds; Stochastic Frontier Model; Market Timing; Efficiency (search for similar items in EconPapers)
JEL-codes: G1 G2 (search for similar items in EconPapers)
Date: 2020-01-06
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