Habilidad financiera de los fondos mutuos accionarios nacionales en Chile

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dc.contributor.advisorValdés P., Salvador
dc.contributor.advisorBobenrieth H., Eugenio S.
dc.contributor.authorLanglois Samsó, Nicolás
dc.contributor.otherPontificia Universidad Católica de Chile. Instituto de Economía
dc.date.accessioned2016-07-19T15:12:18Z
dc.date.available2016-07-19T15:12:18Z
dc.date.issued2014
dc.descriptionTesis (Magíster en Economía)--Pontificia Universidad Católica de Chile, 2014
dc.description.abstractThis paper studies the performance of fund managers in equity mutual funds in Chile throughout the period 2002-2014 with monthly data. Financial skill in terms of stock picking and style timing are measured simultaneously, using dynamic coefficients for risk-loadings in terms of the four risk factors of the Fama-French-Carhart framework. The dynamics of the coefficients are modeled as dependent on copper prices, oil prices, and Chilean economic activity (using a monthly indicator). The main result is that the average fund manager did not add value in gross terms. After administration costs are subtracted, the average manager destroyed investor wealth, at a rate of 2.9% annually. Nevertheless, we also identify a minority of skilled managers that in fact created wealth for investors in some subperiods. Another result was that the average manager showed no timing ability. In addition, we find that mutual funds present diseconomies of scale, and that investors reward funds with high excess returns in the past.
dc.format.extent55 hojas
dc.identifier.doi10.7764/tesisUC/ECO/15668
dc.identifier.urihttps://doi.org/10.7764/tesisUC/ECO/15668
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/15668
dc.information.autorucInstituto de Economía ; Valdés P., Salvador ; S/I ; 56653
dc.information.autorucInstituto de Economía ; Bobenrieth H., Eugenio S. ; 0000-0001-9899-4186 ; 1010081
dc.information.autorucInstituto de Economía ; Langlois Samsó, Nicolás ; S/I ; 185784
dc.language.isoes
dc.nota.accesoContenido completo
dc.rightsacceso abierto
dc.subject.ddc300
dc.subject.deweyCiencias socialeses_ES
dc.subject.otherSociedades de inversiones - Chilees_ES
dc.subject.otherMercado de capitales - Chilees_ES
dc.titleHabilidad financiera de los fondos mutuos accionarios nacionales en Chilees_ES
dc.typetesis de maestría
sipa.codpersvinculados56653
sipa.codpersvinculados1010081
sipa.codpersvinculados185784
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3.13 Tesis magíster