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Evaluating Brazilian Mutual Funds With Stochastic Frontiers, Andre Santos, Joao Tusi, Newton Da Costa Jr, Sergio Da Silva
Evaluating Brazilian Mutual Funds With Stochastic Frontiers, Andre Santos, Joao Tusi, Newton Da Costa Jr, Sergio Da Silva
Sergio Da Silva
We evaluate the performance of 307 Brazilian stock mutual funds employing stochastic frontiers. We list the top ten actively managed funds and the bottom ten for the period April 2001−July 2003, and show that a fund’s efficiency increases with management skill to beat the market. We also find that portfolios with low volatility tend to be more efficient. Yet we find no relationship between fund size and performance, though this might be blurred by a survivorship bias.
Travel Hysteresis In The Us Current Account After The Mid-1980s, Roberto Meurer, Guilherme Moura, Sergio Da Silva
Travel Hysteresis In The Us Current Account After The Mid-1980s, Roberto Meurer, Guilherme Moura, Sergio Da Silva
Sergio Da Silva
Following the real appreciation of the US dollar in the first half of the 1980s, travel expenditures in the current account soared. Employing standard regression techniques as well as Markov−switching regime analysis we show that such expenditures did not return to their pre−appreciation levels thereafter. The permanent increase suggests the presence of travel hysteresis in the US current account after the mid−1980s.
Travel Hysteresis In The Brazilian Current Account, Roberto Meurer, Guilherme Moura, Sergio Da Silva
Travel Hysteresis In The Brazilian Current Account, Roberto Meurer, Guilherme Moura, Sergio Da Silva
Sergio Da Silva
The strong Brazilian currency between 1994 and 1998 led Brazilians to an unprecedented increase in their travels abroad. Even after the 1999 currency crisis, travel patterns did not recover to their pre−exchange rate devaluation levels. The occasional exchange rate valuation has left long−lasting effects by changing habits, and thereby generating a travel hysteresis in the Brazilian current account.
Stock Selection Based On Cluster Analysis, Newton Da Costa Jr, Jefferson Cunha, Sergio Da Silva
Stock Selection Based On Cluster Analysis, Newton Da Costa Jr, Jefferson Cunha, Sergio Da Silva
Sergio Da Silva
We put forward a technique based on cluster analysis to group stocks in spot markets according to a risk−return criterion. We show how an informed investor will make money using the cluster analysis to select stocks of major companies from North and South America.
Is There A Brazilian J−Curve?, Guilherme Moura, Sergio Da Silva
Is There A Brazilian J−Curve?, Guilherme Moura, Sergio Da Silva
Sergio Da Silva
We show that the Marshall−Lerner condition holds for the Brazilian trade balance, and discard a J−curve in the short run. We present these results using impulse−response functions in a variety of (linear and nonlinear) models, including Markov−switching, vector error−correction models.
Política Monetária E A Relação Entre Pib Real E Mercado De Ações Na Economia Brasileira, Mauricio Nunes, Sergio Da Silva
Política Monetária E A Relação Entre Pib Real E Mercado De Ações Na Economia Brasileira, Mauricio Nunes, Sergio Da Silva
Sergio Da Silva
This paper presents favorable piece of evidence of the relationship between the Brazilian real output and its stockmarket. Neglecting this fact may jeopardize current price stability and economic growth. (Portuguese)
Stockmarket Comovements Revisited, Newton Da Costa Jr, Silvia Nunes, Paulo Ceretta, Sergio Da Silva
Stockmarket Comovements Revisited, Newton Da Costa Jr, Silvia Nunes, Paulo Ceretta, Sergio Da Silva
Sergio Da Silva
We revisit the issue of comovements of emerging and developed stockmarkets, and provide a simultaneous treatment of data for the eighties and nineties. We show that while emerging markets experience greater instability in the long term than their developed counterparts, there is room for short−term strategies to take advantage of profit opportunities in the emerging markets, especially in India.