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Investment fund actions and in action: Factors of Common Risks?

by Teixeira da, José Alan

Abstract (Summary)
In this article, was analyzed the capacity of valuation and forecast on the main stock investment funds in the Brazilian market, using the Capital Asset Pricing Model (CAPM), the Fama e French (1993) factor model and the Carhart (1997) four-factor model. According to the results, we have a better performance of the CAPM vis-à-vis the factor models, even for the investment funds that over perform the market. This result can be seen as an evidence of the necessity to develop a factor model a la Fama and French, but specific for investment funds.
This document abstract is also available in Portuguese.
Bibliographical Information:

Advisor:Emerson Luís Lemos Marinho; Fabrício Carneiro Linhares; Paulo Rogério Faustino Matos

School:Universidade Federal do Ceará

School Location:Brazil

Source Type:Master's Thesis

Keywords:finance stocks investment funds asset pricing models CAPM fama french factor model; carhart four-factor model

ISBN:

Date of Publication:04/16/2008

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