Market Efficiency and Performance of Multimarket Funds

According to the theory of the Efficiency Market Hypothesis (EMH), prices in the market should reflect all the information to the point where the costs of acting based on this information does not exceed its benefits (Jensen, 1978; Fama, 1991). In this context, the aim of this paper was to analyze a...

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Bibliographic Details
Published in:Revista Brasileira de Finanças 2013-03, Vol.11 (1), p.119-142
Main Authors: Rodrigo Fernandes Malaquias, William Eid Junior
Format: Article
Language:English
Subjects:
Market Efficiency Hypothesis
Multimarket Funds
Online Access:Get full text
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Summary:According to the theory of the Efficiency Market Hypothesis (EMH), prices in the market should reflect all the information to the point where the costs of acting based on this information does not exceed its benefits (Jensen, 1978; Fama, 1991). In this context, the aim of this paper was to analyze and if past and publicly information may be useful to obtain extraordinary returns in the segment of Brazilian multimarket funds. With data regarding 831 multimarket funds, segregated into two samples (551 funds between October/2007 and September/2011, and 280 funds between October/2009 and September/2011), the main results showed that, on average, the funds did not add extraordinary value, but the data that are publicly available of the funds were related to their performance. The last result contradicts the EMH and leads to questions such as: do investors monitor variables related to fund performance?
ISSN:1679-0731
1984-5146