Fundos de investimento: market timing, sentimento do investidor e incerteza da política econômica

Abstract

Equity funds move increasingly expressive financial amounts in capital markets. Linked to the performance of these is the market timing skill of the managers that move a fund’s resources. This work aims to analyze the effects of investor sentiment and economic policy uncertainty on the performance of the market timing strategy in US and Brazilian equity funds. Two distinct samples of funds with monthly data were analyzed, one with 8,536 US equity funds in the period from January/2000 to December/2021, and the other with 2,650 Brazilian equity funds with active management in the period from February/2005 to December/2021. Methodologically, this research presents three stages of realization. In the first one, managers' skill coefficients in market timing were estimated with the models of Treynor and Mazuy (1966) (MTT) and of Henriksson and Merton (1981) (MTH) by fund with moving time windows of 36 months, each one gradually increased by the risk factors of the CAPM, FF3, FFC, FF5 and FF5C models in each country. After the estimation, only the statistically significant ranges of each model and sample were filtered. In the second stage, the measure of investor sentiment estimated similarly to that of Baker and Wurgler (2006) for Brazil, given the availability of the index by the authors for the US. Filtered MTT and MTH parameters were used as dependent variables and investor sentiment, uncertainty and both with sentiment/uncertainty interactions, as independent in linear regression models with panel data, pooled, fixed and random effects controlled effects by the characteristics of shareholders' equity, net assets, ages and management tax. For the USA and Brazil, adherence to fixed effects was identified in the estimations. Finally, in the third stage of this research, the relationships between market timing, investor sentiment and uncertainty of the US and Brazilian to models’ MTT FF5C and MTH FF5C were verified. The results corroborated the market timing literature and indicated the ability for a minority of investment funds in both the US and Brazil. The effects of sentiment, uncertainty and both on MTT FF5C and MTH FF5C models were statistically significant mostly regressions. Investor sentiment indicated a negative influence on MTT and MTH of American funds, and a positive influence on Brazilian ones. The indicators of uncertainty, global, local and both positively influenced the ability of fund managers in the US and Brazil. Measures of sentiment interactions conditioned by local and global uncertainty were statistically significant in US and Brazilian models analyzed in this research. In the results of the models estimated for the two countries regarding the sentiment conditioned by uncertainty (interactions), there was persistence of positive effects of the measure on the fund managers' ability to market timing. An increase (or decrease) in interactions also causes an increase (or decrease) in skill. Fund managers' skill levels are significantly influenced by the measures addressed in this research.