Spanish Mutual Funds Yield: An Analysis of Its Determinants

46 Pages Posted: 10 Jun 2019

See all articles by María Isabel Cambón

María Isabel Cambón

Comisión Nacional de Mercado de Valores

Date Written: 2011

Abstract

This working document analyses the Spanish mutual fund performance in the pe-riod 2000-2009 based on a set of variables which characterise such institutions. The model proposed, which includes non-observable variables which we relate to the skill of the fund manager, is based on the generalised method of moments (GMM) technique applied to panel data. The results of the estimation do not allow us to conclude that there is systematic persistence in the yields of investment funds. Nei-ther do we find that the funds charging higher management and custody fees per-form better. Some variables characterising the fund management company do seem to have a bearing on the yield of the fund. For example, we find that the larger the market share of the fund management company, the lower tends to be the yield, and that the funds of management companies belonging to banks and savings banks also tend to show higher yields. Conversely, variables specific to a fund, such as size or age, do not seem to have a bearing on its performance.

Suggested Citation

Cambón, María Isabel, Spanish Mutual Funds Yield: An Analysis of Its Determinants (2011). CNMV Working Paper No. 48, Available at SSRN: https://ssrn.com/abstract=3400614 or http://dx.doi.org/10.2139/ssrn.3400614

María Isabel Cambón (Contact Author)

Comisión Nacional de Mercado de Valores ( email )

Edison 4
Madrid, 28006
Spain

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