Fundos de investimento imobiliário: análise de retornos com modelos de séries temporais e fatores exógenos

Authors

  • Bruno Milani Instituto Federal de Educação, Ciência e Tecnologia Farroupilha (IFFar).
  • Adriano Mendonça Souza Universidade Federal de Santa Maria (UFSM) https://orcid.org/0000-0002-1562-2246

DOI:

https://doi.org/10.20397/2177-6652/2026.v26i2.3345

Keywords:

Real Estate Investment Trusts (REITS). Índice Ifix. ARIMA. Modelos de Box-Jenkins.

Abstract

Objective: To identify the relationship between the return of the Ifix, its lagged return, and the contemporaneous returns of the Imob and Ibovespa indices, using ARIMA family models applied to Brazilian Real Estate Investment Funds (FIIs).

Methodology: Twenty-nine ARIMA family time series models with orders between 0 and 3 were estimated. The approach was inspired by the CAPM, as it includes broad market indices as explanatory variables, but it was adapted to the Box–Jenkins methodology. The Imob and Ibovespa indices were used as exogenous variables in the time series models.

Originality/Relevance: The study contributes to the debate on the factors that explain FIIs’ returns in the Brazilian market. Unlike traditional approaches based solely on linear regressions, this research employs ARIMA models and their extensions, allowing the simultaneous assessment of temporal dependence and market variables’ influence.

Main results: The best-performing model was ARFIMAX (2, 0.26, 2) + r_Imob . The results show that the Imob index better explains the Ifix returns than the Ibovespa. The Ifix exhibits temporal dependence of at least two lags, with coefficients ϕ1 and ϕ2 higher than the coefficient associated with Imob. Thus, past FIIs returns exert greater influence on their contemporaneous returns than broader market indicators.

Theoretical/methodological contributions: The study demonstrates the suitability of ARFIMAX models for the analysis of FIIs, showing that approaches combining long memory and exogenous variables are more effective than conventional linear models. It also reinforces the importance of considering structural lags of the index itself.

Social/managerial contributions: The results provide insights for investors, managers, and policymakers, contributing to more efficient allocation strategies and a better understanding of this segment’s behavior in the Brazilian financial market.

Author Biographies

Bruno Milani, Instituto Federal de Educação, Ciência e Tecnologia Farroupilha (IFFar).

Doutor em Administração pelo Programa de Pós-Graduação em Administração (PPGA) da Universidade Federal de Santa Maria (UFSM). Professor do Eixo de Gestão e Negócios do Instituto Federal de Educação, Ciência e Tecnologia Farroupilha (IFFar).

Adriano Mendonça Souza, Universidade Federal de Santa Maria (UFSM)

Doutor em Engenharia de Produção pela UFSC. Professor do Departamento de Estatística da UFSM.

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Published

2026-06-23

How to Cite

Milani, B., & Mendonça Souza, A. (2026). Fundos de investimento imobiliário: análise de retornos com modelos de séries temporais e fatores exógenos. Revista Gestão & Tecnologia, 26(2), 40–69. https://doi.org/10.20397/2177-6652/2026.v26i2.3345

Issue

Vol. 26 No. 2 (2026)

Section

ARTIGOS

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