Elaine Cristina Borges
Doutorado: O impacto do investidor institucional no preço das ações
Orientador: Prof. Dr. Roy Martelanc
Comissão: Profs. Drs. Eduardo Kazuo Kayo, Andrea Maria Accioly Fonseca Minardi, William Eid Junior e Newton Carneiro Affonso da Costa Junior
Local: PrédioFEA-5 - sala 215
This paper studies the impact of institutional herding on stock prices in Brazil. According to international papers, stocks bought (sold) by the fund industry have their prices increased (decreased) in the short term, from 1 to 6 months. In the long term, this effect is reversed, corroborating the destabilizing hypothesis of the institutional herding on prices.
Fixed effects panel analyses were performed with the monthly portfolio data of all stocks held by Brazilian investment funds from 2009 to 2015 and the results partially corroborate expectations, stocks purchased by the funds, with positive persistence, decline in future returns, and stocks sold by the funds, with negative persistence, suffer an increase of future returns. When we separate the persistence variable into persistence of purchase and persistence of sale, the results are even more surprising, it happens that the shares bought by the funds present a very positive result in the following months, however the shares sold by the funds present a future return, both in the short and in the long run, higher than the shares purchased. Small and active funds buying and selling small caps have an even stronger effect.