Diversificação dos Fundos de Investimento Imobiliário brasileiros

Moraes, Arthur Vieira de; Serra, Ricardo Goulart

doi:10.4013/base.2017.141.05

Cited by 7 publications

(13 citation statements)

References 10 publications

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“…This result follows the findings of Hung and Glascock (2008) findings on this relationship, who show that momentum in American REIT was associated with higher DY from 1992 to 2008. Also, results corroborate the findings of Guimarães (2013) who shows that the momentum effect is present in the BR-REITs' industry. The results presented from this point on follow the same patterns observed in this section, following the findings of the literature in which this paper is based, which gives consistency and solidity to the findings.…”

Section: Long Short and Long-short Strategiessupporting

confidence: 89%

“…More recently, Nascimento et al (2020) evaluated returns of BR-REITs in the period from 2010 to 2019, considering the influences of aspects such as management, regulation, and taxation. Detaching from the general tendency of the literature to evaluate risk variables and basic characteristics of BR-REITs, Guimarães (2013) uses the four-factor model of Carhart (1997) in a small sample of real estate funds. A tendency of performance maintenance is found, observing the persistence of returns (momentum) in BR-REITs with higher profitability.…”

Section: Reitsmentioning

confidence: 99%

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Dividend-yield variation as an asset selection criterion in momentum strategies of Brazilian real estate investment trusts

Greenhalgh

Campani

2023

Rev. contab. finanç.

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We aimed at showing the usage of the dividend-yield (DY) variation as a criterion for selecting Brazilian real estate investment trusts (BR-REITs) in momentum strategies. The identification of momentum in BR-REITs with this selection criterion is, to the best of our knowledge, new and gives rise to different strategies that seize abnormal returns. This study allows a new understanding of the dynamics between prices and dividend payments, which compose BR-REITs returns. It is of major importance, considering the relevance of the DY ratio for the asset class. The studied strategies delivered results above the industry’s index with expressive magnitude, are of simple elaboration, and can be applied by any individual or institutional investor. Portfolios’ performances were measured by Sharpe ratio (SR), alpha of the Fama and French three-factor model, and excess returns obtained in relation to the BR-REITs’ index. Statistical tests were applied to verify the significance of the results. This study showed that strategies around the momentum effect that buy (sell) BR-REITs with greater (smaller) DY variations in previous months tended to have superior performance to the industry’s index.

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Section: Long Short and Long-short Strategiessupporting

confidence: 89%

Section: Reitsmentioning

confidence: 99%

Dividend-yield variation as an asset selection criterion in momentum strategies of Brazilian real estate investment trusts

Greenhalgh

Campani

2023

Rev. contab. finanç.

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“…The research on investment funds in Brazil presents results involving fundraising (Sanvicente, 2002), the role of managers (Leusin & Brito, 2008), style analysis (Yoshinaga, Castro, Oda & Lucchesi, 2009), fund portfolio rotation (Milan & Eid, 2015), diversification (Moraes & Serra, 2017), and performance (Matos & Castro, 2013;Trindade & Malaquias, 2015;Oreng, Eid & Yoshinaga, 2017). However, we believe that there is a lack of empirical results on the theme proposed for this research in Brazil.…”

Section: Introductionmentioning

confidence: 99%

Window dressing in Brazilian investment funds

Marques

Sampaio

Silva

2020

Rev. contab. finanç.

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This paper investigates the presence of window dressing in the Brazilian investment fund market, focusing on equity funds. Window dressing is a practice that presents a particular portfolio composition to the market, which is different from that held by the fund in the reporting period. Just before the end of the period, fund managers change their positions with the aim of presenting safer, more profitable securities portfolios. We believe that there is a lack of empirical evidence on this topic in Brazil. Previous research focuses on diversification, style analysis, fund portfolio turnover, manager profile, and performance. Therefore, we believe that our paper is pioneering in presenting results on window dressing in Brazil. With the presence of window dressing, the market may signal distorted results to investors and guide their allocations towards funds in which they would not invest in the absence of such practices. Moreover, the adoption of window dressing may increase transaction costs and thus destroy value. Our results present a connection with previous studies by Bremer and Kato (1996), O’Neal (2001), Ng and Wang (2004), Ortiz, Sarto, and Vicente (2012), and Agarwal, Gay, and Ling (2014). This paper provides evidence of window dressing in Brazilian equity funds and proposes an empirical study to verify the presence of the practice between 2010 and 2016, using market model residuals, rank gap, and backward holding return gap analysis techniques. In short, our results are consistent with window dressing practices in funds managed by small companies that were losers against the Bovespa Index and presented a high tracking error in the period.

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“…Os FIIs foram criados no Brasil em 1993, por meio da Lei no. 8.668, tendo como referência os Real Estate Investment Trust (REIT) americanos, criados naquele país em 1960(MORAES, 2016).…”

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Impacto da Crise de 2014 a 2017 no desempenho dos Fundos de Investimento Imobiliários brasileiros listados em bolsa

Britto¹,

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2018

18ª Conferência Internacional Da LARES

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Between 2005 and 2017, investments in Brazilian Real Estate Investment Trusts (FIIs) listed in BM&F increased. During the period of crisis from 2014 to 2017, the investment growth rate decreased, but the volume traded remained relatively high. The objective of this research was to analyze the performance of the FIIs listed on BM&F Bovespa, aiming to verify if this kind of investment is attractive in times of economic crisis. This is a quantitative research using document analysis of data published by BM&F. Indicators for investment return and risk (volatility and liquidity) were calculated for a sample in the period from July 2013 to December 2017. In addition, returns were analyzed segregated by FII segments. As a result, for the period of study, it was obtained a median monthly return rate of 0.56% and a mean monthly return rate, weighted by the traded volume, of 0.33%. In the same period, the monthly rate of IPCA was of 0.12%, the CDI of 0.79% and the Ibovespa of 0.47%. It was observed that the investment return rate varied significantly among the different FII segments. Regarding volatility, the standard deviation of the median monthly return rates was 3.77% for the sample, against 1.14% of the CDI and 11.01% of the Ibovespa. The median traded volume of the FIIs of the sample was R$ 1.9 million per month. It was concluded that the investment in FIIs during the economic crisis was, in terms of risk vs. return, generally more attractive than the Ibovespa and less attractive than the CDI. It should be noted, however, that the indicators presented a significant amplitude in the sample.

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Diversificação dos Fundos de Investimento Imobiliário brasileiros

Cited by 7 publications

References 10 publications

Dividend-yield variation as an asset selection criterion in momentum strategies of Brazilian real estate investment trusts

Dividend-yield variation as an asset selection criterion in momentum strategies of Brazilian real estate investment trusts

Window dressing in Brazilian investment funds

Impacto da Crise de 2014 a 2017 no desempenho dos Fundos de Investimento Imobiliários brasileiros listados em bolsa

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