Autor según el artículo: Fabregat‐aibar L; Sorrosal‐forradellas MT; Barberà‐mariné G; Terceño A

Departamento: Gestió d'Empreses

Autor/es de la URV: Barberà Mariné, Maria Glòria / Fabregat Aibar, Laura / Sorrosal Forradellas, Maria Teresa / Terceño Gómez, Antonio

Palabras clave: Survival capacity Spanish market Neural network Mutual funds Improve Failure

Resumen: Recently, the total net assets of mutual funds have increased considerably and turned them into one of the main investment instruments. Despite this increment, every year a considerable number of funds disappear. The main purpose of this paper is to determine if the neural networks can be a valid instrument to detect the survival capacity of a fund, using the traditional variables linked to the literature of disappearance funds: age, size, performance and volatility. This paper also incorporates annualized variation in return and the Sharpe ratio as variables. The data used is a sample of Spanish mutual funds during 2018 and 2019. The results show that the network correctly classifies funds into surviving and non‐surviving with a total error of 13%. Moreover, it shows that not all variables are significant to determine the survival capacity of a fund. The results indicate that surviving and non‐surviving funds differ in variables related to performance and its variation, volatility and the Sharpe ratio. However, age and size are not significant variables. As a conclusion, the neural network correctly predicts the 87% of survival capacity of mutual funds. Therefore, this methodology can be used to classify this financial instrument according to its survival or disappear-ance.

Áreas temáticas: Química Mathematics (miscellaneous) Mathematics (all) Mathematics General mathematics Engineering (miscellaneous) Computer science (miscellaneous) Astronomia / física

Acceso a la licencia de uso: https://creativecommons.org/licenses/by/3.0/es/

Direcció de correo del autor: laura.fabregat@urv.cat mariateresa.sorrosal@urv.cat antonio.terceno@urv.cat gloria.barbera@urv.cat

Identificador del autor: 0000-0002-0077-161X 0000-0003-4719-452X 0000-0001-5348-8837 0000-0003-2578-1301

Fecha de alta del registro: 2023-03-05

Versión del articulo depositado: info:eu-repo/semantics/publishedVersion

Enlace a la fuente original: https://www.mdpi.com/2227-7390/9/6/695

URL Documento de licencia: http://repositori.urv.cat/ca/proteccio-de-dades/

Referencia al articulo segun fuente origial: Mathematics. 9 (6):

Referencia de l'ítem segons les normes APA: Fabregat‐aibar L; Sorrosal‐forradellas MT; Barberà‐mariné G; Terceño A (2021). Can artificial neural networks predict the survival capacity of mutual funds? Evidence from Spain. Mathematics, 9(6), -. DOI: 10.3390/math9060695

DOI del artículo: 10.3390/math9060695

Entidad: Universitat Rovira i Virgili

Año de publicación de la revista: 2021

Tipo de publicación: Journal Publications