Abstract
In this paper, we discuss the practice of portfolio pumping in Brazil. Although the topic is recurrent in other countries, few studies provide this analysis for the Brazilian case. The statistical study is elaborated in three stages: first, we considered Brazilian investment funds' shares for the period from September 2011 to June 2016, estimating daily excess returns of those funds based on the Ibovespa, considering and not considering the adjusted beta of the portfolios of those funds. Our results suggest that the practice of portfolio pumping is more frequent at the end of months ex-semester than at the end of semesters. When we consider the beta adjusted to calculate abnormal returns of the funds, we found a greater significance for the existence of this practice. In the second step, the funds were ordered based on their performance in the previous period (by month, semester, and year), which resulted in few relevant results for the analysis of the topic, despite what is proposed by the principal-agent problem literature. In the last step, we analyzed the practice of portfolio pumping in stocks traded on B3, ordering them by their participation in the portfolios and by their Market Cap. The results indicated that the stocks with greater presence in the portfolios of the investment funds have higher excess returns at the end of the periods, reinforcing the thesis that this increase in stock prices in those moments may be a consequence of a deliberate action taken by the managers of those funds.
Highlights
A manipulacao de precos no mercado acionario pode representar um entrave ao pleno funcionamento do ultimo
Ao analisarem alguns casos de manipulacao de precos de acoes nos mercados de capitais do Canada e dos Estados Unidos entre 1997 e 2009, tornase mais clara a magnitude da alteracao no preco das acoes que essa pratica acarretou: We find strong evidence of large increases in day-end returns, return reversals, trading activity and bid-ask spreads in the presence of manipulation Manipulation causes abnormal day-end returns of between 1.4% and 1.9% approximately six times larger than their usual levels
O autor encontra evidencias de retornos em exceso dos Fundos de Investimento em Acoes (FIAs) positivos ao final do semestre e negativos em seu inıcio, o que pode ser resultado de uma eventual manipulacao de precos de acoes nesse perıodo pelos gestores desses FIAs
Summary
Ao aplicarem seus recursos financeiros em um fundo de investimentos, os investidores delegam a responsabilidade sobre a rentabilidade do montante transferido ao gestor desse fundo. Gestores com baixo desempenho do fundo na primeira metade do ano teriam maior incentivo a adotar praticas tais como window dressing (definida na secao anterior), elevac ̃ao da exposicao ao risco do portfolio e “seguir a manada” (adotar carteiras similaresaquelas dos gestores com performance superior). O portfolio pumping pode ser entendido como uma pratica tambem decorrente desse problema de agente principal: a depender dos incentivos do gestor, sua atuac ̃ao pode nao corresponder aos interesses dos investidores, na medida em que a manipulacao de precos implica apenas benefıcios de curto prazo, sobretudo ao gestor, podendo acarretar uma situac ̃ao de longo prazo menos favoravel aos investidores.
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