Análise de Eventual Prática de Window Dressing em Fundos de Acções Nacionais

• Main Author: Almeida, Tiago André Alves de
• Format: Dissertation
• Language: Portuguese
• Published: ProQuest Dissertations & Theses 01-01-2009
• Subjects: Finance
• ISBN: 9798835514441

Academic studies have reported some evidence of Window Dressing in the U.S.A. This phenomenon consists in unveiling a portfolio which is just held close to the date of its announcement and, therefore, it doesn’t correspond to the portfolio that had actually been kept during the remainder of the investment’s cycle.However, it is expectable that a monthly issue of the portfolios, as it happens in Portugal, will make the probability of Window Dressing practices much lower than in countries with quarterly or biannual publication, as it occurs in the U.S.A., for instance. Effectively, a monthly issue of the portfolios restricts the incentive to the aforementioned practice, since it decreases the time span elapsed between both moments of publication and, consequently, it may avoid some eventual negative abnormal investments. Furthermore, it also prevents the rising cost of such a practice, for the reason that it leads to more frequent transactions. Nevertheless, academic research hasn’t evidenced this presumptive conviction. Our study aims to contribute to fill this gap, by researching the predictable practice of Window Dressing in Portuguese national equity funds.Methodologically, this research compares the daily fund’s return, which is based on the actual daily rate of the units, with the daily return that the fund would have brought out if it had held down a structure of investment similar to the one showed at the end of the previous month – start-month portfolio. Correlatively, this study also compares the daily return that the fund would have evidenced if it had assured an identical investments’ structure displayed at the end of the current month – end-month portfolio.This study concludes that, as expected, there is no clear evidence of Window Dressing on the Portuguese national equity funds. However, at a particular level, we found some evidence consistent with that practice in two investment funds. According to our investigation, that evidence is very noticeable in one of them, but it is very tenuous on the other one.