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Survivorship bias in Brazilian stock funds

Tipo
Artigos

Ano
11/06/2016

Linha de Pesquisa
Administração e Economia de Negócios

Autor(es)
Flavio C. Sanematsu, Ricardo P. C. Leal

Orientador

http://www.accessecon.com/Pubs/EB/2016/Volume36/EB-16-V36-I2-P93.pdf


Economics Bulletin, v. 36, n. 2. Abstract: This article investigates the survivorship bias of a sample of 1119 equity mutual funds in Brazil between 2004 and 2013. There is indication that survivorship bias increases when very small funds and those that did not have share prices for at least 12 contiguous months are not discarded. Results indicate that the sample with non-surviving funds frequently presented average returns lower than a sample with only surviving funds in a given year. Association to a large financial conglomerate and longevity may also favor fund survivorship.

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