Market Efficiency and Performance of Multimarket Funds
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Abstract
According to the theory of the Efficiency Market Hypothesis (EMH), prices in the market should reflect all the information to the point where the costs of acting based on this information does not exceed its benefits (Jensen, 1978; Fama, 1991). In this context, the aim of this paper was to analyze and if past and publicly information may be useful to obtain extraordinary returns in the segment of Brazilian multimarket funds. With data regarding 831 multimarket funds, segregated into two samples (551 funds between October/2007 and September/2011, and 280 funds between October/2009 and September/2011), the main results showed that, on average, the funds did not add extraordinary value, but the data that are publicly available of the funds were related to their performance. The last result contradicts the EMH and leads to questions such as: do investors monitor variables related to fund performance?
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Long Paper
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