El comportamiento de los fondos de inversión en España: un análisis de los factores de supervivencia

Identifier:  TDX:2814

Handle: https://hdl.handle.net/20.500.11797/TDX2814

Authors:  Fabregat Aibar, Laura

Abstract:
This thesis carries out an analysis of the evolution of mutual funds in the Spanish market from their creation in 1985 to 2016 with the aim of studying how the different variables contribute to their disappearance. The explicative variables considered are those traditionally found in the literature: age, size, investment flows, return and volatility. To these the Morningstar rating is added, which is not related to the mortality of funds in the classic studies. Furthermore, the specific structure of the Spanish market leads us to include two more variables: investment objectives and type of fund company. We use the Cox model and an extension of it, the Andersen-Gill model, to carry out the analysis with the aim of finding out if there is a relation between the risk of a fund disappearing and the explicative variables considered. The results obtained confirm that younger funds and smaller funds have a greater risk of disappearing. Funds with long-term negative returns are likewise at greater risk. Volatility and short-term return, on the other hand, only intervene in the survival of bond funds; they do not contribute to the survival of equity funds. Apart from the variables considered in these models, the Self-Organising Maps (SOM) are used to see whether this methodology is capable of grouping the funds according to if they have disappeared or not. This neural network is shown to correctly classify more than 80% of the mutual funds. Finally, regarding merger processes, target funds improve their results after a merger in all three ways of disappearing analysed,