O efeito segunda-feira em cotas de fundos de ações brasileiros

Abstract

The Monday effect is a calendar anomaly of the interest of researchers around the world, who try to identify behavioral or rational reasons to understand the emergence of this recurrence standard. It is considered that this effect is legitimized in the stock market; however, a provocation arises to discover if the persistence (or not) of this effect is observed in a continued growth industry in Brazil, in the stock investments funds. Thus, this research aims to analyze the relationship of Monday with the return on investments funds. Therefore, the sample was composed by 174 Brazilian investments funds totaling 134.584 observations for daily data in the period from 1st January 2011 to 11 July 2014. Using regression analysis with stock data and considering control variables identified as relevant in literature, the main results showed that the Monday effect also occurs in the investment funds segment. Furthermore, the following notes are highlighted: (i) evidences that managers can obtain abnormal returns by exploiting the Monday effect in investments funds; (ii) indications that the fund manager in the decision-making process is influenced by behavioral biases and mental shortcuts, presenting tendentious behaviors and not following a rationality; (iii) managers can try to get extraordinary returns through negotiations conducted with information from the days of the week; and (iv) IBOVESPA variable had a positive sign, i.e., the funds returns of the sample tend to move in the same direction of IBOVESPA returns. This aspect indicates that the sample equity funds has significant investments in companies with higher liquidity indexes. For future studies researches on other types of investment funds are recommended, identifying the impact of taxation on investment funds and the application of questionnaires and/or interviews to seek empirical findings in which the behavior of the manager can influence the emergence and the persistence of anomalies.