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Social and Behavioral Sciences Commons™
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Articles 1 - 3 of 3
Full-Text Articles in Social and Behavioral Sciences
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.
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.
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.