Measuring the dynamic leadership relationships between Spanish mutual funds: A combination of bayesian and graphs tools

P. Gargallo Valero, L. Andreu Sánchez, J. L. Sarto Marzal, M. Salvador Figueras

In this paper, the superior ability of certain active mutual funds to select stocks is analyzed. Concretely, we study if there are some fund managers that follow the trades of other managers. To that aim, first we estimate the dynamic evolution of CAPM equity exposures coefficients of a set of Spanish mutual fund using a Bayesian rolling procedure, and second we establish the leader-follower relationship between pairs of funds from the above estimated coefficients by means of a dynamic regression model. By using concepts of graph theory, we analyze the leadership capacity of a fund as well as the strength of its influence on the rest of the funds. Additionally, the study identifies the determining factors of a fund’s leadership capacity.

Keywords: Leaders and followers, Mutual funds, CAPM, Rolling methods,Bayesian Inference, Graphs tools

GT8-1 Bayesian Inference
September 4, 2019  10:40 AM
I2L7. Georgina Blanes building

M. A. Gómez Villegas, B. González Pérez, Ó. De Gregorio Vicente

J. González Ortega, D. Ríos Insua, F. Ruggeri, R. Soyer

G. A. Valverde Castilla, J. M. Mira McWilliams, B. González Pérez