Gestão / Administração

Dissertações de Mestrado

Resumo

Academic studies have reported some evidence of Window Dressing in the U.S.A. This phenomenon consists in unveiling a portfolio which is just held close to the date of its announcement and, therefore, it doesn’t correspond to the portfolio that had actually been kept during the remainder of the investment’s cycle.However, it is expectable that a monthly issue of the portfolios, as it happens in Portugal, will make the probability of Window Dressing practices much lower than in countries with quarterly or biannual publication, as it occurs in the U.S.A., for instance. Effectively, a monthly issue of the portfolios restricts the incentive to the aforementioned practice, since it decreases the time span elapsed between both moments of publication and, consequently, it may avoid some eventual negative abnormal investments. Furthermore, it also prevents the rising cost of such a practice, for the reason that it leads to more frequent transactions. Nevertheless, academic research hasn’t evidenced this presumptive conviction. Our study aims to contribute to fill this gap, by researching the predictable practice of Window Dressing in Portuguese national equity funds. Methodologically, this research compares the daily fund’s return, which is based on the actual daily rate of the units, with the daily return that the fund would have brought out if it had held down a structure of investment similar to the one showed at the end of the previous month – start-month portfolio. Correlatively, this study also compares the daily return that the fund would have evidenced if it had assured an identical investments’ structure displayed at the end of the current month – end-month portfolio.This study concludes that, as expected, there is no clear evidence of Window Dressing on the Portuguese national equity funds. However, at a particular level, we found some evidence consistent with that practice in two investment funds. According to our investigation, that evidence is very noticeable in one of them, but it is very tenuous on the other one.

 

Palavras chave: Finanças, Master in Finance

 

Índice 

1. Introdução

1.1. Revisão da Literatura

1.2. Caracterização do Mercado Português de Fundos de investimento Mobiliário

2. Base de Dados e Metodologia

2.1. Linhas Gerais da Metodologia Seguida
2.2. Descrição da Amostra
2.3. Carteira de Início de Mês e de Fim de Mês
2.4. Outros Aspectos Metodológicos

3. Análise Estatística Univariada

3.1. Análise Considerando a Totalidade do Mês
3.2. Análise Considerando Apenas as Observações Intermédias
3.3. Análise Considerando Apenas as Observações de Início e de Fim do Mês

4. Análise de Regressões

4.1. Um Primeiro Conjunto de Regressões
4.2. Um Segundo Conjunto de Regressões

5. Conclusões

Referências Bibliográficas

Anexos

Anexo 1. Número de Fundos de Investimento Mobiliário (FIM) no Mundo
Anexo 2. Valor sob Gestão pelos FIM no Mundo
Anexo 3. Análise Estatística Univariada

Anexo 3.1. Totalidade das Observações Diárias
Anexo 3.2. Observações Diárias Intermédias
Anexo 3.3. Observações Diárias Extremas

Anexo 4. Regressões Econométricas
 

 

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