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Authors
Advisor(s)
Abstract(s)
This dissertation aims to study the use of derivatives by Portuguese equity funds and understand what fund characteristics can affect the decisions about the use of derivatives and the exposition to have. Based on data from the 34 Portuguese equity funds active in the period between January 2018 and June 2022, the information was used to produce preliminary statistics and statistical regressions, that made possible to conclude about the topic. It was found that the variables “Fund Size” and “Age”, negatively affected the decision to use derivatives, and the variable “Management Fee”, influenced the decision to use derivatives positively. Was further shown that, just like the decision to use derivatives, in derivatives exposition, the variables “Age” and “Fund Size” affected the exposition negatively too. However, the “Net Inflows”, which were
not significant to the derivatives use decision, affected the exposition positively. Some of these findings were similar to the ones made in the past, although some are contrary or new, which adds value to this dissertation, because new findings were made. Regarding to the preliminary statistics, no big differences were seen comparing the “normal” periods with the Covid-19 pandemic period, and the crisis period with Russia-Ukraine War and High Inflation.
Description
Mestrado em Análise Financeira
Keywords
Derivatives Financial markets Equity funds Mutual funds Covid-19 Statistics
Citation
Rosa, F. (2023) How are derivatives used by equity funds in Portugal? [Dissertação de mestrado, Instituto Superior de Contabilidade e Administração de Lisboa]. Repositório Científico do Instituto Politécnico de Lisboa. http://hdl.handle.net/10400.21/17417