Sentimento do investidor e fundos imobiliários brasileiros: uma análise entre tijolo e papel

Abstract

Based in the Investor Sentiment Theory proposed by Baker and Wurgler (2006), this dis- sertation aims to investigate the influence of investor sentiment on the pricing of Brazilian Real Estate Investment Funds (REITs), known as Fundos de Investimento Imobili´ario (FIIs). Investor sentiment theory establishes that aggregate beliefs not necessarily justified by econo- mic fundamentals may influence asset price formation, allowing temporary deviations from fundamental values. In this context, it is assumed that investor sentiment may be associated with divergences between the market price of FII shares and their respective net asset values per share (NAV), as well as with variations in the monthly returns of these assets. Addi- tionally, the study investigates whether the influence of investor sentiment differs between equity-based funds (tijolo) and mortgage-based funds (papel), considering the structural dif- ferences between these categories. The sample consists of Real Estate Investment Funds that were included in the theoretical portfolio of the IFIX index of B3 in at least one period between January 2018 and December 2024. The initial consolidation of data from Economa- tica resulted in 471 distinct Real Estate Investment Funds, totaling 17,573 observations in the analyzed period, organized as an unbalanced panel dataset. Investor sentiment was measured through an Aggregate Sentiment Index adapted to the FII market, constructed from market- related proxies and estimated using Principal Component Analysis. The dependent variables consist of the monthly returns of fund shares and the discount or premium relative to net asset value per share. Control variables related to risk and fund characteristics were incorporated into the analysis and the econometric analysis was conducted using panel data regression models. This dissertation contributes to the literature by applying investor sentiment theory to the Brazilian Real Estate Investment Fund market, which remains relatively underexplored from a behavioral perspective. Additionally, the study contributes by investigating the hete- rogeneous response to investor sentiment between equity-based and mortgage-based funds, expanding the understanding of price formation mechanisms in the Brazilian FII market.