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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
G2 - Financial Institutions and Services: General
Manuscript Received : Dec 19 2019 Manuscript Accepted : Jan 06 2020

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