Fundos de investimento imobiliário: análise de retornos com modelos de séries temporais e fatores exógenos
DOI:
https://doi.org/10.20397/2177-6652/2026.v26i2.3345Palabras clave:
Real Estate Investment Trusts (REITS). Índice Ifix. ARIMA. Modelos de Box-Jenkins.Resumen
Objetivo: Identificar la relación entre el retorno del Ifix, su retorno rezagado y los retornos contemporáneos de los índices Imob e Ibovespa, utilizando modelos de la familia ARIMA aplicados a los Fondos de Inversión Inmobiliaria brasileños (FIIs).
Metodología: Se estimaron 29 modelos de series temporales de la familia ARIMA con órdenes entre 0 y 3. El enfoque estuvo inspirado en el CAPM por incluir índices amplios como variables explicativas, pero fue adaptado a la metodología de Box–Jenkins. Los índices Imob e Ibovespa fueron utilizados como variables exógenas en los modelos de series temporales.
Originalidad/Relevancia: El estudio contribuye al debate sobre los factores que explican el retorno de los FIIs en el mercado brasileño. A diferencia de los enfoques tradicionales basados únicamente en regresiones lineales, la investigación utiliza modelos ARIMA y sus extensiones, lo que permite evaluar simultáneamente la dependencia temporal y la influencia de variables de mercado.
Principales resultados: El modelo con mejor desempeño fue el ARFIMAX (2, 0.26, 2) + r_Imob . Se verificó que el retorno del Imob explica mejor el retorno del Ifix que el del Ibovespa. El Ifix presenta dependencia temporal de al menos dos rezagos, con coeficientes ϕ1 y ϕ2 superiores al coeficiente asociado al Imob. Así, el retorno pasado de los FIIs ejerce mayor influencia sobre su retorno contemporáneo que los indicadores amplios del mercado.
Contribuciones teóricas/metodológicas: El estudio evidencia la adecuación de los modelos ARFIMAX para el análisis de FIIs, demostrando que los enfoques que combinan memoria larga y variables exógenas son más eficaces que los modelos lineales convencionales. Además, refuerza la importancia de considerar los rezagos estructurales del propio índice.
Contribuciones sociales/gerenciales: Los resultados ofrecen insumos para inversionistas, gestores y formuladores de políticas, contribuyendo a estrategias de asignación más eficientes y a una mejor comprensión del comportamiento de este segmento en el mercado financiero brasileño.
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