This study assesses Brazilian investment funds through traditional performance measures estimated from a conditional Capital Asset Pricing Model (CAPM) in state-space form with heteroscedastic and homoscedastic errors. Using a sample of stock funds from 2005-2015, the results indicate that the conditional CAPM model produces better results than alternative models like the unconditional CAPM and a four-factor model. This provides better evaluation of funds' stock-picking and market-timing abilities compared to other models.
RAE-Revista de Administração de Empresas (Journal of Business Management), 2019. V. 59, N. 4
1. ARTICLES
Conditional pricing model with heteroscedasticity: Evaluation of Brazilian funds
Leandro Santos da Costa | Frances Fischberg Blank | Fernando Luiz Cyrino Oliveira | Cristian Enrique Muñoz Villalobos
Configurations of knowledge-intensive entrepreneurial ecosystems
Andre Cherubini Alves | Bruno Fischer | Nicholas Spyridon Vonortas | Sérgio Robles Reis de Queiroz
Business-to-business marketing: Brazilian scientific production from 2008 to 2018
Renato Calhau Coda | Gustavo Henrique Carvalho de Castro
Voluntary disclosure: Empirical analysis of the tone used in conference calls
Felipe Ramos Ferreira | Diego Campana Fiorot | Fabio Yoshio Suguri Motoki | Nadia Cardoso Moreira
PERSPECTIVES
Current challenges and promising avenues for entrepreneurship research
Rose Mary Almeida Lopes | Edmilson Lima
Evolution and trends of the international innovation research agenda
Bibiana Volkmer Martins | Kadígia Faccin | Gustavo da Silva Motta | Roberto Bernardes | Alsones Balestrin
BOOK REVIEW
Paths, texts, and contexts of creative leadership
Henrique Muzzio
BOOK RECOMMENDATION
Diversities, identities, and inclusion
Eloisio Moulin de Souza
RESEARCH AND
KNOWLEDGE
V. 59, N. 4,
July–August 2019
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