Agency conflicts, compensation and clientele type, and survivorship bias in brazilian stock funds

Abstract

This article investigates the survivorship bias and the behavior of equity mutual funds at calendar semester ends in Brazil between 2004 and 2013. Results indicate that fund performance is associated with its survivorship, but other factors may play an important role in keeping a fund in activity. Results also suggest that the sampled funds present positive abnormal returns on the last trading day of calendar semesters, followed by negative abnormal returns on the subsequent day. Funds oriented to retail investors and those that charge incentive fees are more likely to display these abnormal return behavior. There seems to be evidence of portfolio pumping.