Claudia Emiko Yoshinaga

The relationship between market sentiment index and stock rates of return: a panel data analysis

This article analyzes the relationship between market sentiment and future stock rates of return. We used a methodology based on principal component analysis to create a sentiment index for the Brazilian market with data from 1999 to 2008. The sample consisted of companies listed on BM&F BOVESPA which were grouped into quintiles, each representing a portfolio, according to the magnitude of the following characteristics: market value, total annualized risk and listing time on BM&F BOVESPA. Next, we calculated the average return of each portfolio for every quarter. The data for the first and last quintiles were analyzed via two-factor ANOVA, using sentiment index of the previous period (positive or negative) as the main factor and each characteristic as controlling factors. Finally, the sentiment index was included in a panel data pricing model. The results indicate a significant and negative relationship between the market sentiment index and the future rates of return. These findings suggest the existence of a reversion pattern in stock returns, meaning that after a positive sentiment period, the impact on subsequent stock returns is negative, and vice-versa.

Exchange Traded Funds versus Fundos Indexados no Brasil

Exchange Traded Funds (ETFs) sao o novo fenomeno do mercado financeiro. Em pouco tempo esses fundos negociados em bolsa de valores ja representam mais de 5% de todos os fundos mutuos de investimento no mundo, e 50% dos fundos indexados nos EUA. Apesar do sucesso, os ETFs sao recentes e ainda carecem de pesquisa. Esse estudo se propoe a avaliar o desempenho dos ETFs em comparacao aos fundos mutuos indexados no Brasil, em termos de rentabilidade e aderencia. Por serem ainda mais recentes no Brasil e faltar historico, foram selecionados 3 ETFs para esse estudo: Ishares Bova CI (BOVA11), Ishares Brax CI (BRAX11) e Ishares Smal CI (SMAL11). De uma maneira geral, os ETFs brasileiros apresentaram rentabilidade superior a dos fundos indexados ao mesmo indice, o que esta em linha com as taxas de administracao reduzidas que os gestores de ETFs conseguem praticar, alem do fato dos custos de transacao dos ETFs ficarem por conta do investidor e nao serem incluidos nos precos, nao afetando sua rentabilidade. No que diz respeito a aderencia, os ETFs tiveram os piores resultados. Apenas quando se utilizam precos diarios medios em vez dos de fechamento, considerando que os precos medios sao mais representativos dado que os ETFs permitem negociacoes de compra e venda ao longo do dia, e que os ETFs tiveram melhor aderencia que os fundos indexados.

DISPOSITION EFFECT AMONG BRAZILIAN EQUITY FUND MANAGERS

El efecto disposicion preve que los inversores tiendan a vender acciones ganadoras muy pronto y a hacer uso de stocks de perdida durante mucho tiempo. A pesar de la gran variedad de pruebas de investigaciones sobre el tema, los motivos que llevan a los inversores a actuar de esta manera son, todavia, objeto de mucha controversia, existiendo explicaciones racionales y de comportamiento. En el presente articulo, el objetivo principal fue el de comprobar dos motivaciones de comportamiento concurrentes, para justificar el efecto disposicion: la teoria prospectiva y la tendencia a la reversion a la media. Para ello, se realizo un analisis de transacciones mensual, en una muestra de 51 fondos brasilenos de capital, de 2002 a 2008, en que se consideraron modelos de regresion, con variables dependientes cualitativas, con el fin de definir la probabilidad de que un gestor tenga una ganancia o perdida de capital, en funcion de la rentabilidad de las acciones. Los resultados arrojaron pruebas de que la teoria prospectiva parece guiar el proceso de toma de decision de los gestores, pero la hipotesis de que el efecto disposicion se produce debido a la diferencia a favor de la tendencia a la reversion a la media no pudo confirmarse.The disposition effect predicts that investors tend to sell winning stocks too soon and ride losing stocks too long. Despite the wide range of research evidence about this issue, the reasons that lead investors to act this way are still subject to much controversy between rational and behavioral explanations. In this article, the main goal was to test two competing behavioral motivations to justify the disposition effect: prospect theory and mean reversion bias. To achieve it, an analysis of monthly transactions for a sample of 51 Brazilian equity funds from 2002 to 2008 was conducted and regression models with qualitative dependent variables were estimated in order to set the probability of a manager to realize a capital gain or loss as a function of the stock return. The results brought evidence that prospect theory seems to guide the decision-making process of the managers, but the hypothesis that the disposition effect is due to mean reversion bias could not be confirmed.

Efeito disposição entre gestores brasileiros de fundos de ações

El efecto disposicion preve que los inversores tiendan a vender acciones ganadoras muy pronto y a hacer uso de stocks de perdida durante mucho tiempo. A pesar de la gran variedad de pruebas de investigaciones sobre el tema, los motivos que llevan a los inversores a actuar de esta manera son, todavia, objeto de mucha controversia, existiendo explicaciones racionales y de comportamiento. En el presente articulo, el objetivo principal fue el de comprobar dos motivaciones de comportamiento concurrentes, para justificar el efecto disposicion: la teoria prospectiva y la tendencia a la reversion a la media. Para ello, se realizo un analisis de transacciones mensual, en una muestra de 51 fondos brasilenos de capital, de 2002 a 2008, en que se consideraron modelos de regresion, con variables dependientes cualitativas, con el fin de definir la probabilidad de que un gestor tenga una ganancia o perdida de capital, en funcion de la rentabilidad de las acciones. Los resultados arrojaron pruebas de que la teoria prospectiva parece guiar el proceso de toma de decision de los gestores, pero la hipotesis de que el efecto disposicion se produce debido a la diferencia a favor de la tendencia a la reversion a la media no pudo confirmarse.The disposition effect predicts that investors tend to sell winning stocks too soon and ride losing stocks too long. Despite the wide range of research evidence about this issue, the reasons that lead investors to act this way are still subject to much controversy between rational and behavioral explanations. In this article, the main goal was to test two competing behavioral motivations to justify the disposition effect: prospect theory and mean reversion bias. To achieve it, an analysis of monthly transactions for a sample of 51 Brazilian equity funds from 2002 to 2008 was conducted and regression models with qualitative dependent variables were estimated in order to set the probability of a manager to realize a capital gain or loss as a function of the stock return. The results brought evidence that prospect theory seems to guide the decision-making process of the managers, but the hypothesis that the disposition effect is due to mean reversion bias could not be confirmed.

Efecto disposición entre gestores brasileños de fondos de acciones

El efecto disposicion preve que los inversores tiendan a vender acciones ganadoras muy pronto y a hacer uso de stocks de perdida durante mucho tiempo. A pesar de la gran variedad de pruebas de investigaciones sobre el tema, los motivos que llevan a los inversores a actuar de esta manera son, todavia, objeto de mucha controversia, existiendo explicaciones racionales y de comportamiento. En el presente articulo, el objetivo principal fue el de comprobar dos motivaciones de comportamiento concurrentes, para justificar el efecto disposicion: la teoria prospectiva y la tendencia a la reversion a la media. Para ello, se realizo un analisis de transacciones mensual, en una muestra de 51 fondos brasilenos de capital, de 2002 a 2008, en que se consideraron modelos de regresion, con variables dependientes cualitativas, con el fin de definir la probabilidad de que un gestor tenga una ganancia o perdida de capital, en funcion de la rentabilidad de las acciones. Los resultados arrojaron pruebas de que la teoria prospectiva parece guiar el proceso de toma de decision de los gestores, pero la hipotesis de que el efecto disposicion se produce debido a la diferencia a favor de la tendencia a la reversion a la media no pudo confirmarse.The disposition effect predicts that investors tend to sell winning stocks too soon and ride losing stocks too long. Despite the wide range of research evidence about this issue, the reasons that lead investors to act this way are still subject to much controversy between rational and behavioral explanations. In this article, the main goal was to test two competing behavioral motivations to justify the disposition effect: prospect theory and mean reversion bias. To achieve it, an analysis of monthly transactions for a sample of 51 Brazilian equity funds from 2002 to 2008 was conducted and regression models with qualitative dependent variables were estimated in order to set the probability of a manager to realize a capital gain or loss as a function of the stock return. The results brought evidence that prospect theory seems to guide the decision-making process of the managers, but the hypothesis that the disposition effect is due to mean reversion bias could not be confirmed.

Determinants of Access to Credit for Low-Income Population in Brazil from 2002 to 2008

This study evaluates the supply of credit for the low-income population in Brazil in two periods – 2002 and 2008. During this period, an ascent of the population from the bottom of the pyramid, which has enlarged their real purchasing power due to the good economic period in Brazil and to the public policies of income transfer and real raise of minimum wage (from BRL200.00 or USD56.61 in 2002 to BRL415.00 or USD117.58 in 2008), was registered. The article contributes to the literature because it shows that, besides becoming more accessible, credit has become more democratic since attributes such as years of formal education of the people is now more important to determine the credit access than previously used characteristics as colour or gender. Moreover, its access has become more geographically distributed within the national territory, reducing regional difference traits in Brazil. At last, it is important to highlight the chance to companies and also to the government to act, since access to credit for the low-income population, although being in expansion, is still restrict. Therefore, considering the size and representativeness of this population in the Brazilian economy, there is still a long way to go, which may bring opportunities to companies and individuals.