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In this paper, we analyzed the risk-adjusted performance of funds related to Environmental, Social and Governance (ESG-related funds), considering periods of financial constraints and the COVID-19 Pandemic. The database is comprised of 3,840 equity mutual funds in the period from January/2006 to December/2020. Each year, considering daily returns, we employed the Returns-Based Style Analysis to classify each fund as an ESG-related fund or a conventional fund; all funds in the category “Equities - Sustainability / Governance” were also considered as ESG-related mutual funds. Using daily data, for each year, the performance was estimated based on the four-factors model. The main results indicate that, on average, ESG-related funds presented higher risk-adjusted returns during periods of financial constraints. These results suggest that, during market downturns, investors tend to obtain better risk-adjusted returns for investing in green funds. A similar result was observed in relation to the COVID-19 period, suggesting that, based on the methods and procedures used, ESG-related funds achieved a better performance when compared to “conventional” funds during the Pandemic.

ABSTRACT This article aimed to test the effect of lockup periods on the performance of Brazilian equity funds and multimarket funds, considering the period affected by the 2019 coronavirus disease (COVID-19). This study contributes to better understanding the effects of redemption restrictions imposed on quotaholders, a relevant subject considering the increase in the number of funds in Brazil. This effect is analyzed with particular focus on the period affected by the COVID-19 pandemic. The results of this study have implications for individual and professional investors and may also interest large families of Brazilian funds, given that the establishment of lockup periods forms part of a long-term decision. The research has the potential to impact planning in the fund industry, the financial planning of small and large investors, as well as the literature on the subject, motivating the undertaking of new research. The sample was composed of 17,417 Brazilian funds, 13,581 of which were multimarket funds and 3,836 were equity funds, covering the period from January of 2018 to December of 2021. Various subsamples were evaluated for robustness purposes. The hypotheses were tested using a difference-in-difference model operationalized through a panel. Fund performance was estimated every quarter based on the four-factor alpha. The main results of the study reveal that lockup periods were positively associated with fund performance. On the other hand, during the period negatively affected by COVID-19, funds with greater lockup periods did not record better performance than the other funds (considering in the comparison the performance of groups with a shorter lockup and that of the funds before the pandemic), a result that may advance the discussion on the effects of redemption restrictions.

This paper aims to create a bondholders’ protection index (BPI) and to investigate what the influence of this index would be on multimarket funds’ allocation in corporate bonds. Understanding this relation is relevant because only about 1.36% of multimarket funds’ portfolios correspond to debentures. This study advances the literature by covering a topic little discussed in a Brazilian context, proposing the creation of a BPI, which would be related to the number of automatic maturity clauses, which guarantee immediate payment to bondholders in cases of the rupture of a contract. This research comprised 926 debentures series issued in Brazil from 2009 to 2017, and 1,753 multimarket funds, which allocated some portfolios’ percentage in these securities. In creating the BPI, we contemplated 15 restrictive clauses, which the most common correspond to negligent business performance, liquidation, dissolution and bankruptcy, and restrictions related to company structure. Moreover, we examined less common restrictive clauses as well, including indebtedness policy, shares issuance and amortization, and ratings downgrading. Regarding data analysis, we employed multiple linear regression models, with pooled estimators, applying the standard error correction by White’s robust matrix (1980). The main results suggest that BPI positively effects multimarket funds’ allocation in debentures. Furthermore, this influence is more intense in indentures with higher number of clauses with automatic maturity. Thus, this study contributes to literature about restrictive clauses, since it demonstrates that debentures’ flexible and adaptable structure seems to be interesting for the main bondholders in Brazil.

ABSTRACT Based on the assumption that seasonal patterns have been identified in stock market assets and also in the context of equity mutual funds, the aim of this research is to investigate the relationship between the seasonality presented by the January effect and the net flow of Brazilian equity funds. The study extends the potential effects of seasonality beyond the return on stock market assets, demonstrating that seasonal patterns can also be observed in Brazilian mutual fund flows. The literature mostly points to common factors related to the performance of equity mutual funds; therefore this study investigates mutual fund flows, demonstrating that different factors influence the decisions of fund investors, including seasonal factors. The study has practical implications for fund managers, as it highlights a set of variables that can be used to anticipate variations in fund flow, reducing their effects on performance and avoiding costs. The results were estimated using panel data regression analysis. The study sample consisted of 1,010 equity funds, covering the period from January of 2004 to June of 2018. It was found that the average net inflow of Brazilian equity mutual funds is higher in January than in other months of the year, which characterizes the existence of a seasonal pattern in their net flows. However, the effect is different between exclusive and non-exclusive funds. As contributions, our findings: (i) provide a better understanding about the factors related to investor decision-making; (ii) point out new aspects in which exclusive and non-exclusive funds differ; and (iii) present factors that influence mutual fund flows.

This paper analyzed the relation between redemption constraints and liquidity of portfolios under management of Brazilian equity funds, as well as its effect on performance. The sample included 2,706 Brazilian equity funds with investments in stocks listed on BM&FBovespa or in shares of other equity funds in the period between 2009 and 2016. The data were analyzed through descriptive statistics and linear regressions with panel data. The results indicated that redemption constraints positively impact equity funds performance. In addition, the results also suggested that liquidity constraints allow the funds to exploit less liquid investments in stocks and shares of other funds. When verifying if investments in low liquidity assets by equity funds imply superior performance from liquidity premia, the results did not indicate a positive effect.

Liquidity constraints imposed to shareholders of investment funds, also known as lock-up periods, represent an alternative that managers can use to implement and maintain long-term strategies. The academic literature suggests that, as a result of liquidity constraints, funds should deliver a premium to their shareholders, and previous studies have documented this effect. Based on this context, in this paper we analyze the effect of lock-up periods on the profitability of Brazilian multimarket funds. We used a sample composed by 4,662 multimarket funds in the period from January 2009 to February 2016. The results showed a positive effect of lock-up periods on the average profitability of the funds, as well as on their risk-adjusted return. Our discussion highlights arguments that some measures taken by fund managers to protect their strategies against impulsive behaviors of funds’ investors can present a positive effect on the performance of their funds.

Resumo O objetivo principal com este artigo foi analisar a relação entre o foco do gestor e a performance dos fundos de investimentos multimercados. Com base em estudos anteriores, o modelo de pesquisa também considerou o foco da família administradora. A base de dados foi composta por 2.942 fundos no período de janeiro de 2012 a dezembro de 2015. Observou-se que o foco da família de fundos apresentou relação positiva com o desempenho, assim como o foco do gestor em fundos multimercados; porém, essa relação não foi persistente para diferentes medidas de performance como variável dependente. Com base nesses resultados, evidenciaram-se, nesta pesquisa, variáveis que podem ser utilizadas por cotistas de fundos de investimentos para a alocação de seus recursos no mercado financeiro. Palavras-chave: Investidores institucionais. Gestão ativa. Economia de escala. Abstract The aim of this research is to analyze the relationship between managers’ focus and the performance of multimarket investment funds. Grounded in previous research, the quantitative model of this study also involves the focus of funds families. The database is comprised of 2,942 investment funds in the period from january 2012 to december 2015. We observed that both managers’ focus and families’ focus in the category of multimarket funds have a positive effect on the performance of investment funds. Nevertheless, the positive effect of these variables is not consistent among different indexes of performance. Based on these results, this research discloses some variables that investors can use in order to allocate their financial resources in the capital market. Keywords: Institutional investors. Active management. Economies of scale.

ABSTRACT The main purpose of this research is to analyze the relationship between characteristics of hiring firms and the perception of auditors/accountants that provide services to them regarding complexity in the elaboration/disclosure of sensitivity analyses and risk management. We seek to analyze whether characteristics of firms that have a better level of disclosure could also be associated with the complexity perceived by the professionals that provide services to such firms concerning the information to do with sensitivity analyses and risk management. Information about risk management arouses considerable debate in the area of accounting and finance; nevertheless, how it is addressed, from the point of view of the professionals, still deserves more attention. The results of this study may lead to an improvement, or even a revision, of the standards related with sensitivity analyses and risk management involving financial instruments. The study sample was composed of respondents from South America, namely accountants and auditors from Brazil and Chile. The perception of complexity was evaluated through a structured questionnaire, which was applied using electronic forms. Regarding the explanatory variables, the quantitative model considers the following characteristics of hiring firms: auditor type; firm size; industry; listed firms; transparency; exporting firms. The main advancement provided by this research lies in it revealing that some characteristics of companies usually associated with better levels of disclosure are not necessarily reflected in the perception by accountants/auditors of lower levels of complexity in the elaboration/disclosure of sensitivity analyses and risk management.

Este trabalho analisou a relação entre restrições de resgate e liquidez dos ativos sob gestão de fundos de ações brasileiros, bem como seu efeito no desempenho. A amostra contou com 2.706 fundos de ações brasileiros com investimentos em ações listadas na BM&FBovespa ou em cotas de outros fundos de ações no período entre 2009 e 2016. Os dados foram analisados a partir de estatísticas descriti­vas e aplicação de modelos de regressão linear com dados em painel. Os resultados indicaram que as restrições de resgate impactam positivamente o desempenho dos fundos de ações. Além disso, os resultados sugeriram que as restrições de resgate possibilitam aos fundos explorar investimentos menos líquidos em ações e em cotas de outros fundos. Por outro lado, o investimento em ativos de baixa liquidez por parte dos fundos de ações não necessariamente está relacionado à melhores indica­dores de performance.

Este trabalho foi elaborado com o objetivo geral de analisar o nível de conhecimento sobre contabilidade internacional entre estudantes do curso de Graduação em Ciências Contábeis de dois países pertencentes ao Mercosul: o Brasil e o Paraguai. O pressuposto estabelecido na pesquisa foi de que, em razão de os dois países analisados estarem situados na América Latina e pertencerem a um grupo que busca por livre circulação de fatores produtivos, coordenação de políticas macroeconômicas e harmonização de legislações de áreas específicas, o nível de conhecimento sobre normas internacionais de contabilidade dos alunos de graduação em Ciências Contábeis poderia ser equivalente. Os resultados indicaram que os respondentes dos dois países apresentaram diferentes níveis de conhecimento no que se refere às perguntas sobre as normas internacionais de contabilidade. Além disso, observou-se que a intensidade de utilização das normas internacionais no dia a dia dos respondentes, a importância atribuída ao Curso de Ciências Contábeis para a formação profissional e a percepção sobre o aproveitamento obtido na disciplina de Contabilidade Internacional foram fatores positivamente relacionados com o conhecimento sobre normas internacionais de contabilidade. Palavras-Chave: Profissão Contábil; Contabilidade Internacional; Normas de Contabilidade.

O objetivo principal deste trabalho foi analisar o efeito Smart Money considerando-se o controle por períodos de crise financeira. Foram selecionados 285 fundos Long and Short brasileiros, no período de 03 de janeiro de 2005 a 12 de setembro de 2013. Com a aplicação de ferramentas quantitativas como a análise de regressão multivariada, análise de regressão logística, complementada com a estatística descritiva e análise de gráficos, os principais resultados mostraram que: i) os cotistas dos fundos de investimento, em média, escolhem os fundos com melhor performance passada para realizar seus investimentos; ii) os fundos que receberam captação líquida positiva apresentaram, em média, melhores indicadores de performance futura que os demais fundos, mesmo para a performance ajustada ao risco; e iii) em períodos de crise, o efeito Smart Money foi anulado, tendo inclusive o seu sinal invertido, talvez por haver menor relação entre performance passada e performance futura quando se tem restrições financeiras impostas pelo mercado. Assim, foram apresentados indícios de que, em períodos de crise, os investidores, em média, não necessariamente apresentam habilidades de seletividade na escolha dos fundos que apresentarão a melhor performance, contrariando o efeito Smart Money para períodos de restrições financeiras.

O objetivo principal deste trabalho foi analisar a classificação dos juros e dividendos nas Demonstrações de Fluxo de Caixa de empresas brasileiras de capital aberto. Utilizou-se de uma amostra com 66 empresas, sendo: 22 que também negociam ações na bolsa de valores de Nova York, 22 do Novo Mercado da BM&FBOVESPA e 22 do Mercado Tradicional da BM&FBOVESPA. Em cada Demonstração coletada, analisaram-se onde os juros e os dividendos haviam sido classificados. Como principais resultados, foi observado que: i) juros recebidos e dividendos pagos foram classificados em toda a amostra como pertencentes aos fluxos operacional e financiamento, respectivamente; ii) a classificação de dividendos recebidos e juros pagos não se registrou homogênea, já que foram considerados apenas por parte das empresas como operacionais; e iii) não houve divergência estatisticamente significativa entre os critérios para classificar juros e dividendos entre os três diferentes mercados analisados.

Na sociedade atual, a preocupação das companhias com assuntos sociais e ambientais é um fator preponderante para a continuidade de suas atividades. Tendo em vista esse fato, percebe-se a relevância de uma comunicação eficiente entre as empresas e seus stakeholders, no que se refere às práticas socialmente responsáveis. Nesse contexto, este trabalho apresentou como objetivo geral comparar o nível de disclosure ambiental fornecido pelas companhias brasileiras de capital aberto em suas demonstrações contábeis, comparando os dados dos relatórios publicados em 2005 com os publicados em 2010. Para isso, avaliaram-se as demonstrações contábeis de 25 empresas brasileiras listadas na Bolsa de Valores, Mercadorias e Futuros (BM&FBOVESPA) que negociam papéis na Bolsa de Valores de Nova Iorque (NYSE). Os resultados apresentados mostraram que o nível de disclosure aumentou com o decorrer do tempo. Além disso, foi possível verificar que a variável tamanho parece exercer influência no nível de evidenciação ambiental das empresas. Palavras-Chave: Evidenciação Ambiental. Tamanho. Demonstrações Contábeis.

Este trabalho foi desenvolvido com o objetivo geral de analisar o nível de disclosure das demonstrações financeiras de empresas brasileiras em relação aos requerimentos dispostos pelo IASB (International Accounting Standards Board) para evidenciação de instrumentos financeiros. Foram pesquisados os relatórios contábeis anuais que tais empresas forneceram a dois diferentes mercados de capitais: o brasileiro e o norte-americano. Com base em uma amostra de 24 empresas não financeiras para o período que compreende os exercícios contábeis de 2002 a 2006, os principais resultados mostraram que os relatórios fornecidos para o mercado brasileiro possuem um nível de evidenciação com média estatisticamente inferior ao dos relatórios fornecidos ao mercado norte-americano. Além disso, empresas de setores regulamentados, empresas com maior tempo na emissão de ADRs e empresas maiores apresentaram melhores níveis de evidenciação.

Este trabalho apresentou como objetivo geral analisar a percepção dos discentes do curso de graduação em Ciências Contábeis sobre a interpretação das expressões de incerteza contidas nos Pronunciamentos Técnicos do CPC (Comitê de Pronunciamentos Contábeis) sobre Instrumentos Financeiros. A escolha de tais pronunciamentos se deu em razão de as operações com instrumentos financeiros serem complexas e terem se tornado um tema polêmico, devido ao grande impacto que se estima causar nos resultados das entidades. Uma amostra composta por 104 questionários foi analisada de acordo com variáveis de critério e por meio dos testes estatísticos e os principais resultados evidenciaram diferenças estatisticamente significativas na interpretação das expressões analisadas, o que se alinha com resultados de estudos anteriores. Concluiu-se que interpretações distintas de uma mesma expressão podem acarretar contabilizações diferenciadas de um mesmo evento, influenciando, assim, nas tomadas de decisões dos usuários das normas e, portanto, na comparabilidade das demonstrações contábeis.This study proposes to analyze the perceptions of accounting students about the interpretation of uncertainty expressions presents in the Financial Instruments Statements. The choice of such Statements happened as a result of transactions with financial instruments are complex and have become a controversial issue because of the large impact that is estimated to cause the results of the entities. A sample of 104 questionnaires was analyzed according to the criterion variables and by means of statistical tests, and the main results showed statistically significant differences in interpretation of the terms analyzed, which is in line with results of previous studies. It was concluded that different interpretations of the same expression can lead to different decision of how to account the same event, thus influencing, the decision making of users of the standards and therefore comparability of financial statements.

ABSTRACT This paper intends to contribute to the literature on investment funds in emerging markets by looking at the performance of multimarket funds in Brazil from a manager perspective. The aim of the paper was to analyze whether some characteristics of investment fund managers, as well as their portfolio holdings, can affect fund performance. In emerging countries both portfolio asset allocation and manager characteristics can help explain differences in the fund performance, which increases the relevance of this study. Therefore, the impact of this research lies in its revealing a significant relationship between risk-adjusted return and the portion of portfolios allocated to fixed or variable income, which seems that have not been explored in the context of emerging economies yet. A total of 6,002 multimarket funds were analyzed, covering the period between September 2009 and December 2015, using panel data with robust standard errors clustered by funds. We also employed robust statistics in order to assess some potential biases due to outliers, by analyzing the breakdown point in the estimated models. It should be noted that portfolio composition (allocation of portfolios into variable income and fixed income) was the most important factor in explaining a potential change in the performance of Brazilian multimarket funds. Also important were the effectiveness of the management of these funds, that is, the best risk-adjusted returns were delivered by less experienced managers, funds investing more in fixed income, managers with more funds under management, and larger funds.

ABSTRACT The growth of the investment funds industry in Brazil and its international representativeness indicate the relevance of analyzing this sector. Literature has shown the effects that market factors can have on the performance of investment funds. One way of evaluating the relation between funds' returns and market factors' variations is the return-based style analysis. In this context, this research aimed to investigate, through the style analysis, the exposition to various market factors in two modalities of investment funds. With this analysis, we may infer differences between the allocations and the composition of portfolios, constructing a panorama of sensitivity of funds' returns to the market factors addressed in the study. The database consisted of daily returns of 508 funds, out of which 385 are fixed income funds and 123 are Neutral Long & Short multimarket funds, within the period from January 3, 2005, to July 11, 2014. Through the style analysis, with 6 market factors, we found a difference between the composition of portfolios of multimarket funds and portfolios of fixed income funds. Regarding the evolution of the composition of portfolios in these funds, we observed that the investment style of funds does not seem to be constant over time, something which may be a positive evidence concerning the changes that managers promote in their portfolios, seeking to achieve better profitability indicators.