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Master's Dissertation
DOI
10.11606/D.12.2016.tde-22012016-111013
Document
Author
Full name
Pedro Castanheira Schneider
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2015
Supervisor
Committee
Chague, Fernando Daniel (President)
Giovannetti, Bruno Cara
Saffi, Pedro Alberto Chauffaille
Title in Portuguese
Investidores informados especialistas e estrategistas em vendas a descoberto: presença, desempenho e previsibilidade de retornos
Keywords in Portuguese
Economia da informação
Finanças
Operação Financeira
Abstract in Portuguese
A literatura, apesar de avaliar consensualmente vendedores a descoberto como informados, pouco diz sobre possíveis diferenças entre eles, especialmente no que se refere ao seu perfil e estratégias de investimento. A dissertação, de forma pioneira, propõe métricas que permitem avaliar os vendedores a descoberto como heterogêneos, ao segmentá-los em duas categorias: o especialista em ações específicas e o estrategista, gestor perito do seu portfólio. A partir de uma base de dados do mercado brasileiro de aluguel entre janeiro de 2009 e julho de 2011, conclui-se que especialistas e estrategistas preveem retorno, mas também que: (i) fundos e pessoas físicas são mais informados que os restantes dos investidores; (ii) informados especialistas tendem a aumentar sua participação no mercado em semanas de fatos relevantes negativos, sugerindo que possuem algum conhecimento do sinal das notícias divulgadas ; (iii) investidores estrategistas são mais seletivos em suas operações, transacionando em um número relativamente menor de meses e de ações e mostrando-se melhores processadores da informação disponível.
Title in English
Experts and strategists informed short sellers: presence, performance and return predictability
Keywords in English
Finance
Financial transaction
Information economy
Abstract in English
The literature, despite consensually recognizing short sellers as informed, has little to say about potential differences among them, especially those related to their investment strategies and profile. The dissertation innovates and proposes measures that differentiate the short sellers in two groups: the specialists on specific tickers and the strategists, skilled portfolio managers. Using data on the investor level from the Brazilian stock loan market between January 2009 and July 2011, we find that both specialists and strategists predict returns, but also that : (i) funds and individuals are more informed than the remainder investor types, (ii) specialists tend to increase their participation in the market on weeks with negative news, suggesting that they have some knowledge over its signs and (iii) strategists are more selective with their transactions, negotiating on a relative lower number of months and being better interpreters of the available information.
 
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CorrigidaPedro.pdf (879.60 Kbytes)
Publishing Date
2016-01-28
 
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