What are the risk factors relevant to investors? Evidence from the Brazilian Funds Market
Rodrigo De-Losso and
Elias Cavalcante Filho, JosÃ© Carlos de Souza Santos
No 2019_52, Working Papers, Department of Economics from University of São Paulo (FEA-USP)
This article investigates what determines the flow of funds to investment funds. Brazilian Investors are more aware of market risk (beta) when evaluating funds, while tending to attribute the return of factors such as size, value, momentum, illiquidity and industry risk to alpha. Using measures of variation in the sophistication of investors, it is also noted that more sophisticated investors tend to value funds based on more complex criteria. The result is in line with that observed for the US. Additionally, one observes that less sophisticated investors prove to be more sensitive to all past return metrics; however, by decomposing the bottom alphas into persistent component and random component, it is evident that this sensitivity is concentrated on the random alpha component.
Keywords: Mutual funds; performance measures; factor models (search for similar items in EconPapers)
JEL-codes: G12 G13 G14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://www.repec.eae.fea.usp.br/documentos/Cavalca ... osso_Santos_52WP.pdf (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:spa:wpaper:2019wpecon52
Ordering information: This working paper can be ordered from
Access Statistics for this paper
More papers in Working Papers, Department of Economics from University of São Paulo (FEA-USP) Contact information at EDIRC.
Bibliographic data for series maintained by Pedro Garcia Duarte ().