Dissertação
Taxas de administração de fundos de investimento no mercado brasileiro: o papel da concorrência da indústria e do sentimento do investidor
Fecha
2022-02-22Registro en:
0000-0002-6667-1742
Autor
Leticia Fernandes Pereira
Institución
Resumen
At the aim was to analyze the influence of fund industry competition and sentiment on
investment fund management fees in Brazil. We analyzed a sample of 1290 stock funds, from
the subcategories “Value/Growth”, “Dividends”, “Active Index” and “Free Portfolio”, from
December 2009 to December 2019. We used concentration index of Herfindahl-Hirschman as
a proxy for fund industry competition; and for investor sentiment, we estimated two proxies,
the first being built according to the model proposed by Baker and Wurgler (2006) and adapted
by Yoshinaga and Castro Júnior (2012), Xavier and Machado (2017) and Miranda and Machado
(2019); and the second one corresponded to the natural logarithm of the Consumer Confidence
Index (ICC). The methodology consisted of the elaboration of regression models considering
the management fee was as dependent variable and, as explanatory variables, the proxies of
competition and investor sentiment, in addition to other control variables. First, we estimated a
regression model for panel data in which the administration fee was analyzed at its level; and
then we estimated a Logit/Probit regression model in which the administration fee was a
dichotomous variable, which referred to the change, or not, of its value in relation to the
previous period. As a result, we could not observe statistical significance at 5% level for fund
industry competition; and the investor sentiment proxy that used the natural logarithm of the
ICC was statistically significant at 5% level to explain the value of management fees (positive
relationship) and their probability of change, mainly for setting higher fees.