Investors’ Behavior and Mutual Fund Portfolio Allocations in Brazil during the Global Financial Crisis

Fernando Linardi

No 517, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: I examine the flow and performance of mutual funds in Brazil and their portfolio allocations during the 2008-2009 financial crisis. First, consistent with the empirical literature, I show the sensitivity of fund flows to past performance and the negative impact of large outflows on fund returns, using a large dataset of mutual funds with different investment strategies. Then, I show that mutual funds exposed to deposits and securities issued by small banks suffered significant outflows, due to concerns about the solvency of those banks after the Lehman's default in 2008. Returns of funds exposed to small banks were also negatively affected. Funds adjusted their portfolios by reducing the exposure to deposits of small banks, but when term deposit coverage limits were raised, funds increased that exposure. The results illustrate the potential risks presented by asset management firms to the extent that interconnections with other financial institutions can induce the transmission of shocks across markets.

Date: 2020-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps517.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bcb:wpaper:517

Access Statistics for this paper

More papers in Working Papers Series from Central Bank of Brazil, Research Department
Bibliographic data for series maintained by Rodrigo Barbone Gonzalez ().