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• W2297389322 abstract "The relationship between returns and risk factors are likely to vary depending on the investor's time horizon, but CAPM supposes homogenous expectations. A relatively new approach known as wavelet analysis takes may help to reduce that problem, incorporating different time scales. Taking advantage of that, this paper aims to verify the differences in performance of Brazilian ETFs and mutual funds, according to benchmark, management style and time scale. We have wavelet decomposed share returns of Brazilian ETFs, returns of the five main Brazilian mutual funds categories and the returns of the Brazilian Market proxy into 7 time scales. Then, we estimate an extended-CAPM in each time scale. We found that there are considerable performance/pricing differences between fund/ETFs categories, which are linked to the time horizon assumed." @default.
• W2297389322 created "2016-06-24" @default.
• W2297389322 creator A5062454198 @default.
• W2297389322 creator A5065838961 @default.
• W2297389322 date "2015-01-01" @default.
• W2297389322 modified "2023-09-27" @default.
• W2297389322 title "Comparison between Brazilian Exchange-Traded Funds and Mutual Funds Performance: A Multiscale Approach" @default.
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• W2297389322 doi "https://doi.org/10.2139/ssrn.2553837" @default.
• W2297389322 hasPublicationYear "2015" @default.
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