Análise da eficiência e mercado e performance de fundos de investimentos imobiliários negociados na Bovespa
Keywords:
Eficiência Informacional, Fundos de Investimentos, Risco, RentabilidadeAbstract
Este trabalho tem por objetivo avaliar o nível de eficiência informacional fraca a partir de séries temporais mensais de sete Fundos de Investimentos Imobiliários no período de janeiro de 2003 a agosto de 2005. O método de avaliação do nível de eficiência informacional foi o teste de hipóteses de autocorrelação serial de Ljung e Box (Q). Encontrou-se 54 coeficientes de autocorrelação serial com sinais positivos, sendo que destes, 29 são estatisticamente significativos com valores de probabilidade menores que 0,05 e os 25 restantes são estatisticamente desprezíveis. Contrariamente, computou-se 30 coeficientes com sinais negativos dentre as 12 defasagens, destes coeficientes, 19 são estatisticamente significativos, enquanto que os 11 coeficientes restantes possuem significâncias que superam o valor de probabilidade de 5%. Pode-se afirmar que há a possibilidade de existirem mecanismos de negociação que possam ser mais lucrativos para o investidor do que a estratégia de simplesmente comprar e guardar cota(s) do(s) fundo(s), fato este que contradiz a teoria de eficiência de mercado. Encontraram-se elevados e significantes coeficientes de autocorrelação serial em alguns dos fundos pesquisados. Esta aparente ineficiência de mercado pode ser parcialmente justificada em razão dos gestores dos fundos não utilizarem toda a informação disponível no mercado, ou mesmo não terem acesso à mesma, se baseando, na sua tomada de decisão, simplesmente em outros fatores de natureza política ou econômica.
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