Determinants of the Development of Fixed Income Mutual Funds in Brazil [Condicionantes do Crescimento dos Fundos Mutuos de Renda Fixa no Brasil]

Abstract:     
The aim of this research was to identify the determinants of the development of the fixed income mutual funds in Brazil through the study of net money flows, from February 1995 to September 2004. The data were analyzed by multiple regression analysis of monthly series. Looking for robustness of the results, the classic OLS estimators were compared with restricted M-estimators. The significant determinants were: the excess of return in relation to the savings account rate, the growth of per capita GDP, the lower interest rates and the less volatility or risk. The introduction of valuation at market prices for fixed income assets, in circumstances of instability in the market, national and international, motivated important redemptions in 2002. Furthermore, for investors of exclusive funds were identified indicators of larger sophistication. These results permit to define strategies for managing these institutions.

Keywords: net money flows, fixed income funds, mutual fund industry, M-estimators, econometric models.

JEL Classifications: C22,G23

Accepted Paper Series