Determinantes dos fluxos de investimentos e gerenciamento de resultados na indústria de fundos brasileira

Abstract

In recent years, the Brazilian capital market has undergone various transformations and experienced significant growth. Within the universe of investment products, funds are an important allocation vehicle based on two basic premises: greater diversification capacity and professional management as a service. That said, investor allocation movements, whether in response to fund performance or economic fluctuations, have direct impacts on management by punishing losers and rewarding winners, as well as indirect effects by changing their allocation depending on the economic scenario faced. The analysis of the estimated models reveals a relationship between investment flows and macroeconomic variables, indicating that investors alter their allocations depending on the economic situation. When examining the financial incentives resulting from management and performance fees, we sought to understand their impact on the fund manager’s behavior. It was observed that there is seasonality in volatility levels throughout the year and that funds that collect a significant amount of performance fees tend to increase fund risks, especially at year-end. Conversely, managers with low performance fees tend to reduce volatility in subsequent periods, thus indicating earnings management.