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Estudo do impacto do patrimônio na rentabilidade dos fundos de investimentos em ações

Guarana, Laura Chrispim
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Dissertação
Português
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58.151216%
O aumento do patrimônio de um fundo de ações provoca impacto no dia-a-dia da gestão, uma vez que o volume de compra e venda aumenta. Isto por sua vez impacta diretamente o desempenho destes fundos. O objetivo desta dissertação é avaliar se este impacto é positivo ou negativo e o quão profundo ele pode ser. Para tal, é feito um estudo entre o patrimônio líquido e a rentabilidade dos fundos de investimentos em ações utilizando-se análises de regressão em painel desbalanceado com dados mensais de 2006 a 2011 referentes aos fundos de investimento em ações no mercado de capitais brasileiro. Em um segundo momento, baseando-se em estudos feitos sob a ótica da liquidez, são inseridas novas variáveis no modelo desenvolvido, com o propósito de se realizar análises econométricas que consigam captar o efeito causado pela redução na liquidez dos fundos dado o aumento do patrimônio líquido. Controlando-se por idade, turn over e a liquidez dos ativos do portfolio, achamos uma redução de 0,058% ao ano para cada R$ 100 milhões de aumento no patrimônio do fundo.; The increase in the asset under management of mutual funds causes an impact on the management routine, since the volume of selling and purchase in assets increases. This directly impacts the performance of these funds. This paper aims to evaluate if this impact is positive or negative and how deep it can be. Using cross sectional data from Brazilian mutual funds I measure the impact in returns when assets under management increase. After this first result...

Essays on banking

Erel, Isil
Fonte: Massachusetts Institute of Technology Publicador: Massachusetts Institute of Technology
Tipo: Tese de Doutorado Formato: 131 leaves; 7690164 bytes; 7695636 bytes; application/pdf; application/pdf
Português
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38.085247%
This thesis consists of two chapters that investigate two important issues in banking of the past decade: the effect of banking consolidation on the borrowers and the regulatory capital requirements for banks. The first chapter analyzes the effect of bank mergers on loan prices, and the welfare implications for borrowers. In particular I test the hypothesis that mergers create efficiency gains which are, in fact, passed on to borrowers through a reduction in interest rates. The alternative hypothesis is that mergers lead to greater market concentration and in turn an increase in the cost of capital for borrowers. Using a proprietary loan-level data set for U.S. commercial banks, I find that acquiring banks, on average, reduce the spreads on their new commercial and industrial loans after a merger. The reduction in loan spreads is both larger and also more persistent for the smaller acquirers, with total gross assets less than $10 billion. These findings seem to be driven by cost efficiencies due to mergers, since the results are stronger for the sample of acquirers with larger than median declines in their operating costs after their mergers. Moreover, the reduction in spreads is much larger if the acquirer and the target have some geographical overlap of markets before the merger...

Emerging Economies in the 2000s : Real Decoupling and Financial Recoupling

Yeyati, Eduardo Levy; Williams, Tomas
Fonte: Banco Mundial Publicador: Banco Mundial
Português
Relevância na Pesquisa
47.846055%
The paper documents an intriguing development in the emerging world in the 2000s: a decoupling from the business cycle of advanced countries, combined with the strengthening of the co-movements in the main emerging market assets that predates the synchronized sell-off during the crisis. In addition, the paper tests the hypothesis that financial globalization, to the extent that it creates a common, global investor base for emerging markets, could lead to a tighter asset correlation despite the weaker economic ties. While an examination of the impact of alternative financial globalization proxies does not yield conclusive results, a closer look at global emerging market equity and bond funds shows that the latter indeed foster financial recoupling during downturns, reflecting the fact that they trade near their respective benchmarks and respond to withdrawals by liquidating holdings across the board.

Deconstructing Herding : Evidence from Pension Fund Investment Behavior

Raddatz, Claudio; Schmukler, Sergio L.
Fonte: Banco Mundial Publicador: Banco Mundial
Português
Relevância na Pesquisa
48.23472%
Pension funds have been expected to invest in a wide range of securities and provide liquidity to domestic capital markets since they are the most sophisticated investors, with plenty of resources to gather private information and manage portfolios professionally. However, by analyzing unique, monthly asset-level data from the pioneer case of Chile, this paper shows that pension funds tend to herd. This is consistent with pension funds copying each other in their investment strategies as a way to extract information, boost returns, and reduce risk. The authors compute measures of herding across asset classes (equities, government bonds, and private sector bonds) and at different pension fund industry levels. The results show that pension funds herd more in assets for which they have less market information and when risk increases. Moreover, herding is more prevalent across funds that narrowly compete with each other, that is, when comparing funds of the same type across pension fund administrators. There is much less herding within pension fund administrators and across pension fund administrators as a whole. This herding pattern is consistent with incentives for managers to be close to industry benchmarks...

On the International Transmission of Shocks : Micro-Evidence from Mutual Fund Portfolios

Raddatz, Claudio; Schmukler, Sergio L.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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38.08084%
Using micro-level data on mutual funds from different financial centers investing in equity and bonds, this paper analyzes how investors and managers behave and transmit shocks across countries. The paper shows that the volatility of mutual fund investments is quantitatively driven by investors through injections of capital into, or redemptions out of, each fund, and by managers changing the country weights and cash in their portfolios. Both investors and managers respond to returns and crises, and substantially adjust their investments accordingly. These mechanisms generated large capital reallocations during the global financial crisis. Their behavior tends to be pro-cyclical, reducing their exposure to countries experiencing crises and increasing it when conditions improve. Managers actively change country weights over time, although there is significant short-run "pass-through," meaning that price changes affect country weights. Consequently, capital flows from mutual funds do not seem to stabilize markets and instead expose countries to foreign shocks.

Nigeria - State Level Public Expenditure Management and Financial Accountability Review : A synthesis Report

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Português
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47.65864%
This report synthesizes the findings of public expenditure management and financial accountability reviews (PEMFARs) that were conducted in seven states between 2008 and 2009. The states covered were Anambra, Bayelsa, Ekiti, Kogi, Niger, Ondo, and Plateau. The report seeks to analyze and summarize the key findings of the reviews from these states in order to ensure that the key messages from the otherwise voluminous reports are presented in a single, smaller report. The states have different socio-economic characteristics but all operate in a federal system that offers some reasonable operational autonomy in the context of a federal constitution. Under the federal system of government, states have been allocated significant responsibilities for service delivery. The constitution defines the expenditure and revenue collection responsibilities that are under their purview. To carry out their responsibilities, the Public Financial Management (PFM) institutional framework is modeled after that of the federal government. All three branches of government are in place with the executive governor as head of state administration. Given the relative autonomy that states enjoy...

Review of Governance of Collective Investment Funds in the New Member States of the European Union

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Português
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38.314724%
This review examines corporate governance practices in the investment fund sector of the ten new member states in the European Union, composed of the European countries that transitioned to market economies in the 1990s: the eight countries that joined the European Union (EU) in 2004 .Czech Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Slovakia and Slovenia. plus Bulgaria and Romania which joined in 2007. Croatia, for which accession negotiations started in 2005, is also included in this Review. (For simplification, these countries will be referred to as the EU11.) The review draws on two sources for data. Over the last two years, in-depth diagnostic reviews of investment governance were conducted by the World Bank in two of the countries, the Czech Republic and Slovenia. The objectives of the reviews were to develop a set of good practices. for investment fund governance and provide specific recommendations for the supervisory authorities in each country. The second source was the public websites of each of the supervisory authorities. The analysis in the review also draws on a number of recent studies done by international organizations such as IOSCO and the EU on governance in the investment fund sector. This review does not attempt to replicate these studies...

European and Best Practice Bank Resolution Mechanisms : An Assessment and Recommendations for Policy and Legal Reforms

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Português
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38.050703%
The process of bank resolution, or the procedure for handling insolvency of banks using a range of tools, including alternatives to standard bankruptcy processes, has gained major traction since the experience of the 2008-09 financial crisis. In this context, this report reviews models for bank resolution that provide increased flexibility and describes several of the supervisory, legal and instrumental tools that can be used under modernized bank resolution procedures. As well, it looks at the recent European Commission proposals on this matter which take into account international best practices experiences. It also highlights areas of reform and areas where further regulatory considerations and priorities should be considered. The report reviews the bank resolution regimes of a group of European countries as well as those of two non-EU countries to highlight advantages as well as gaps in the legal and regulatory frameworks. This report surveys the banking and deposit insurance laws of six European countries : Poland...

Sovereign Wealth Funds in East Asia

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Português
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48.087427%
The massive size, rapid growth, and high-profile investments of Sovereign Wealth Funds (SWFs) in the U.S. and elsewhere in 2007 has attracted the attention of the media, politicians, regulators, and academics over the past year. Some of the SWF investments have been viewed as market stabilizing, for instance the substantial equity investments in large U.S. financial institutions that were recently in financial trouble after the sub-prime mortgage crisis. However, there is great suspicion from many political and academic quarters that SWFs are politically motivated with many SWFs in Asia now at the center of the storm. Although SWFs have been in existence for many decades worldwide, most SWFs in the East Asia and Pacific Region (EAP) are relatively new. The emergence of the SWFs in Asia is largely a by-product of the strong economic development at East Asian countries and the attendant accumulation of foreign exchange reserves, however, there are other types of SWFs in the region. The Governments have taken a concerted strategy to enhance the returns on these excess reserves. The EAP region is an ideal region to take a look at the issues surrounding SWFs since Asia has the full range of funds from long-established funds to brand new funds; from passive portfolio investors to more aggressive strategic investors; from resource-backed funds to foreign reserve-backed funds; and...

India : International Organization of Securities Commission Objectives and Principles of Securities Regulation

International Monetary Fund; World Bank
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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38.11183%
An assessment of the level of implementation of the IOSCO principles in the Indian securities market was conducted from June 15 to July 1, 2011 as part of the Financial Sector Assessment Program (FSAP) by Ana Carvajal, Monetary and capital markets department. An initial IOSCO assessment was conducted in 2000. Since then significant changes have taken place in the Indian market, in terms of market development, upgrading of market infrastructure and of the regulatory framework. The IOSCO methodology requires that assessors not only look at the legal and regulatory framework in place, but at how it has been implemented in practice. The assessor relied on: (i) a self-assessment developed by Securities Board Exchange of India (SEBI); (ii) the review of relevant laws, and other relevant documents provided by the authorities including annual reports; (iii) meetings with the Chairman of SEBI and other members of the Board, staff of SEBI as well as the RBI, and other public authorities, in particular representatives of the Ministry of Finance (MoF) and the Ministry of Corporate Affairs (MCA); as well as (iv) meetings with market participants...

Mexico : The IOSCO Objectives and Principles of Securities

International Monetary Fund; World Bank
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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47.996694%
As the supervisor of the securities markets in Mexico, the National Banking and Securities Commission (Comision Nacional Bancaria y de Valores, CNBV) has developed a robust supervisory framework that exhibits high levels of implementation of the International Organization of Securities Commissions Objectives and Principles of Securities Regulation (IOSCO Principles) in many areas. The assessment was conducted during the International Monetary Fund (IMF) and World Bank Financial Sector Assessment Program (FSAP) mission to Mexico during the period September 7 to September 21, 2011. The assessment was carried out using the 2003 IOSCO methodology for assessing implementation of the IOSCO Principles. The most significant issues regarding full implementation of the Principles fall under the regulator principles. These issues flow from two sources. First, there is no specific statute governing derivatives (whether exchange traded or over-the-counter (OTC)), nor any other express legislative provisions that govern the regulation of that growing market. Second...

International Asset Allocations and Capital Flows : The Benchmark Effect

Raddatz, Claudio; Schmukler, Sergio L.; Williams, Tomas
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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38.13432%
This paper studies channels through which well-known benchmark indexes impact asset allocations and capital flows across countries. The study uses unique monthly micro-level data of benchmark compositions and mutual fund investments during 1996-2012. Benchmarks have important effects on equity and bond mutual fund portfolios across funds with different degrees of activism. Benchmarks explain, on average, around 70 percent of country allocations and have significant impact even on active funds. Benchmark effects are important after controlling for industry, macroeconomic, and country-specific, time-varying effects. Reverse causality does not drive the results. Exogenous, pre-announced changes in benchmarks result in movements in asset allocations mostly when these changes are implemented (not when announced). By impacting country allocations, benchmarks affect capital flows across countries through direct and indirect channels, including contagion. They explain apparently counterintuitive movements in capital flows...

Strategic Interactions and Portfolio Choice in Money Management : Evidence from Colombian Pension Funds

Pedraza Morales, Alvaro
Fonte: World Bank Group, Washington, DC Publicador: World Bank Group, Washington, DC
Português
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58.13093%
This paper studies the portfolio choice of strategic fund managers in the presence of a peer-based underperformance penalty. Evidence is taken from the Colombian pension fund management industry, where six asset managers are in charge of portfolio allocation for the mandatory contributions of the working population. These managers are subject to a peer-based underperformance penalty, known as the Minimum Return Guarantee. The trading behavior by the managers is studied before and after a change in the strictness of the guarantee in June 2007. The evidence suggests that a tighter minimum return guarantee results in more trading in the direction of peers, a behavior that is more pronounced for underperforming managers. These managers rebalance their portfolios by buying securities in which they are underexposed relative to their peers, as opposed to selling assets in which they are overexposed. Overall, the results suggest that incentives for managers to be close to industry benchmarks play an important role in the portfolio allocation of these funds.

The Power of Public Investment Management : Transforming Resources into Assets for Growth

Rajaram, Anand; Minh Le, Tuan; Kaiser, Kai; Kim, Jay-Hyung; Frank, Jonas
Fonte: World Bank Group, Washington, DC Publicador: World Bank Group, Washington, DC
Português
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38.18607%
This publication consists of seven chapters: building a system for public investment management; a unified framework for public investment management; country experiences of public investment management; approaches to better project appraisal; public investment management under uncertainty; procurement and public investment management; and public investment management for public-private partnerships.

Land Administration and Management in Ulaanbaater, Mongolia

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Português
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47.93829%
The City of Ulaanbaatar (UB) is undergoing a historic transformation toward market-driven urban development. This growth remains strongly influenced by city policy decisions that affect the supply and location of land for public and private uses. Private investment is concentrated in well-serviced land located in the central portion of the city and along major transportation corridors, which represent a small part of the total built area of the city. Mongolian law allows UB residents free access to land for residential use, which is commendable because it can reduce a substantial portion of the overall cost of housing. Due to these land allocations, however, low-density urban expansion has occurred along the urban fringes, which imposes heavy costs on transportation and the provision of basic utilities for city residents and omits an important possible source of revenue for financing these improvements. The current city administration clearly recognizes that urban land represents one of the most important assets under its guardianship and management. In particular...

Credit Unions in Poland : Diagnostic and Proposals on Regulation and Supervision

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Economic & Sector Work :: Other Financial Sector Study; Economic & Sector Work
Português
Relevância na Pesquisa
38.1851%
A new amendment to the Law on Credit Unions (CU) dated November 5, 2009, will pass CU supervision to the Polish Financial Services Authority (PFSA), the body that regulates other financial institutions in Poland. Currently, CUs (also known as SKOKs by their Polish acronym) are regulated under the Credit Union Act of December 14, 1995. In Articles 33-35, the National Association of Credit Unions (NASCU) was given the responsibility to regulate and supervise the CUs. However, the new law is not yet operational, as it is being reviewed by the Constitutional Court and there is no date set for the Court's ruling. The law would come into force within sixty days of the Court's decision confirming that the law is in line with the Constitution. This report provides information on the Polish CU experience, analyzes the new regulatory and supervisory framework created by the new CU Law, and provides recommendations for its implementation. Recommendations are accompanied by relevant experience from other countries.

Private Pension Systems : Cross-Country Investment Performance

Musalem, Alberto R.; Pasquini, Ricardo
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Working Paper; Publications & Research
Português
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68.36055%
This study investigates the performance of private pensions systems across countries a topic which has yet to be adequately addressed in the literature. Specifically, this study examines the relationship between pension fund performance (as captured by gross real rates of return and the three year standard deviation of those returns) and the structure of a country's private pension industry and the design of its pension schemes. A database covering 27 countries over the period 1990-2007 was created for this research. The study's key findings include: (i) higher returns are associated with size (systems with more assets under management tend to generate higher returns), type (occupational schemes tend to generate higher returns than do personal pension schemes and closed schemes tend to generate higher returns than do open schemes), and number (systems with multiple funds tend to generate higher returns than those with a single fund); and (ii) lower volatility in pension system returns is associated with older systems...

Avaliação e gestão do capital intelectual como inovação empresarial: dois estudos de caso

Fialho, Hélder Fernando Mendes
Fonte: Escola Superior de Ciencias Empresariais Publicador: Escola Superior de Ciencias Empresariais
Tipo: Dissertação de Mestrado
Publicado em //2013 Português
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38.055151%
Dissertação de Mestrado em Contabilidade e Finanças; o objectivo deste estudo e desenvolver uma analise interpretativa dos procedimentos adoptados por dois Grupos empresariais a actuar no cenario dos neg6cios em Portugal, relativamente a avaliacao e gestao do capital intelectual. A metodologia utilizada foi 0 estudo de caso, tendo sido utilizado como mstodo de recolha de dados a entrevista semi - estruturada directa, no caso do Grupo Semapa e da entrevista semi estruturada realizada via internet no caso do Grupo Media Capital. Os resultados obtidos foram alvo de uma analise comparativa entre os dois Grupos com 0 objectivo de identificar sernelhancas e ditersncas relativamente ao tema central em estudo e a possibilidade de poderem ser correlacionados com os modelos te6ricos de avallacao e qestao do capital intelectual referidos ao longo deste estudo. Com efeito, a analise dos resultados deixa perceber que os Grupos em analise nao utilizam nenhum referencial te6rico conhecido na avallacao do capital intelectual. No entanto, no que se refere a sua gestao, verifica-se que os Grupos tern definido uma estrateqia de neg6cio que visa essencialmente 0 desenvolvimento dos recursos intangiveis atraves da irnplementacao de uma culture organizacional forte e da gestao do talento dos seus empregados com recurso a pianos de formacao que Ihes permite a actualizacao constante dos seus conhecimentos. Relativamente a gestao do capital relacional...

Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management

Basak, Suleyman; Pavlova, Anna; Shapiro, Alex
Fonte: MIT - Massachusetts Institute of Technology Publicador: MIT - Massachusetts Institute of Technology
Tipo: Trabalho em Andamento Formato: 421785 bytes; application/pdf
Português
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57.444243%
Money managers are rewarded for increasing the value of assets under management, and predominantly so in the mutual fund industry. This gives the manager an implicit incentive to exploit the well-documented positive fund-flows to relative-performance relationship by manipulating her risk exposure. In a dynamic asset allocation framework, we show that as the year-end approaches, the ensuing convexities in the manager's objective induce her to closely mimic the index, relative to which her performance is evaluated, when the fund's year-to-date return is sufficiently high. As her relative performance falls behind, she chooses to deviate from the index by either increasing or decreasing the volatility of her portfolio. The maximum deviation is achieved at a critical level of underperformance. It may be optimal for the manager to reach such deviation via selling the risky asset despite its positive risk premium. Under multiple sources of risk...

Mutual Funds in Developing Markets; Addressing Challenges to Growth

World Bank Group
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Working Paper; Publications & Research :: Working Paper; Publications & Research
Português
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68.77327%
An estimated 76,200 mutual funds worldwide currently control about $30 trillion in assets under management, representing just over 20 percent of total global assets under management on behalf of investors worldwide. Mutual funds have typically come about as an outcome of developed financial markets, not a cause of it. Unsurprisingly, therefore, developed markets control roughly over 90 percent of mutual fund assets.3 Yet many developing countries are currently seeking to foster a domestic mutual fund sector, because mutual funds provide cost-effective, professionally managed diversification of risk to investors, while supporting economic growth. This study focuses primarily on domestic mutual funds, that is, mutual funds that are legally domiciled in the host country in which they are primarily sold. The study builds on the five country case studies alluded to above as well as a global survey conducted by the International Organization of Securities Commissions (IOSCO) on mutual fund markets in developing countries. Throughout the report these case studies are referred to...