As crises de mercado e os alfas dos fondos axustados ao índice de referencia nun contexto de mercados pequenos

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Publicado 09-10-2023

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Fernando Lopes
School of Management, Polytechnic Institute of Cávado and Ave, Campus do IPCA, 4750-180 Barcelos, Portugal
Portugal
https://orcid.org/0000-0003-0795-5929
Paulo Leite
Polytechnic Institute of Cávado and Ave
Portugal
https://orcid.org/0000-0002-2010-8890
Maria Carmo Correia
Polytechnic Institute of Cávado and Ave
Portugal
https://orcid.org/0000-0002-9166-398X
Pablo Durán-Santomil
Department of Finance and Accounting, Economics Faculty, Universidade de Santiago de Compostela, Avda. Burgo de las Naciones, 15704 Santiago de Compostela, Spain
España
https://orcid.org/0000-0002-8231-6425
Vol 32 No 3 (2023), Artigos, páxinas 1-17
DOI https://doi.org/10.15304/rge.32.3.9140
Recibido: 13-04-2023 Aceptado: 14-07-2023 Publicado: 09-10-2023
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Resumo

Este traballo investiga o impacto da utilización de alfas axustados aos índices de referencia para avaliar o rendemento dos fondos de investimento de mercados pequenos, que invisten en renda variable nacional e europea. Para o período 2000-2020, os nosos resultados mostran que os índices de referencia dos fondos presentan alfas significativamente negativos, o que conduce a unha subestimación do rendemento dos fondos de investimento cando se empregan modelos estándar. Como resultado, os alfas axustados aos índices de referencia son significativamente superiores aos non axustados para ambas as categorías de fondos, aínda que as diferenzas son maiores para os fondos nacionais que para os europeos. Tamén observamos que o impacto do procedemento de axuste do índice de referencia depende dos estados do mercado. O índice de referencia nacional (europeo) exhibe uns alfas considerablemente menores (maiores) durante períodos de crises que durante os períodos sen crises. Durante as crises de mercado, as diferenzas entre os alfas anteriores e posteriores ao axuste só son estatisticamente significativas no caso dos fondos nacionais, mentres que durante os períodos sen crises ambas as categorías de fondos mostran melloras significativas de rendibilidade. Os nosos resultados suxiren que o procedemento de axuste do índice de referencia ten un maior impacto cando os índices de referencia presentan unha maior concentración.

Palabras chave

Rendibilidade dos fondos de investimento, Alfas axustados ao índice de referencia, Crise de mercado, Modelos multifactoriais
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