All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

 
Isoé N. Schneider, Daniel Knebel Baggio, João S. Tusi da Silveira and Maria M. Baccin Brizolla
 
''Assessing Market Timing Performance of Brazilian Multi-Asset Pension Funds using the Battese and Coelli's Stochastic Frontier Model (1995)''
( 2020, Vol. 40 No.1 )
 
 
In this paper, we used the SFA (Stochastic Frontier Analysis) approach to evaluate the efficiency of 170 Brazilian multi-asset pension funds in the period from 2013 to 2017, which aims to assess the skill level of fund managers to outperform the benchmarks. The adoption of the Battese and Coelli's (1995) stochastic frontier model in market-timing analysis is new and the obtained empirical results are promising for future replications including for other types of pension funds, explanatory variables and observation periods, in different data models.
 
 
Keywords: Pension Funds; Stochastic Frontier Model; Market Timing; Efficiency
JEL: G1 - (G11, G13, G13) Portfolios, Investments, Asset and Futures Pricing, Trading Volume & Bond Interest Rates
G2 - Financial Institutions and Services: General
 
Manuscript Received : Dec 19 2019 Manuscript Accepted : Jan 06 2020

  This abstract has been downloaded 77 times                The Full PDF of this paper has been downloaded 106210 times