Determinantes da demanda por fundos de investimentos brasileiros, quais atributos influenciam a decisão do investidor?

Abstract

This thesis aims to examine which factors influence the demand for investment funds in the Brazilian market, in the post-2015 period, when the new classifications of investment funds indicated by the Comissão de Valores Mobiliários come into force. The model used is the demand for differentiated goods, proposed by Berry (1994), called nested logit. This model considers that the agent selection process occurs sequentially, where products are grouped (nests) according to their characteristics. In the present work, the first level of the decision-making process consists of the investor's choice to allocate his resources in short/medium term funds or in private pension funds. In the second level, the investor chooses in which class of fund he will allocate his resources between fixed income, stocks, multimarkets or foreign exchange, and these classes are included in short/medium term funds and private pension funds. The database consists of an unbalanced panel, considering the opening and closing of investment funds over the analyzed period and has 416,372 observations, in a period of 59 months that occurs between August 2016 and June 2021. Estimates were performed using the Generalized Two-Stage Least Squares (G2SLS) method, using the average management fees of rival funds of the same class as an instrumental variable. The results show that the management fee, which is the price of the product in the model, registered a negative coefficient, as expected, demonstrating that an increase in this fee corresponds to losses of market share for the funds. The dummy that indicates whether there is any statistical significance in raising funds in December, contrary to expectations, resulted in a negative coefficient, indicating that this month there are losses of market shares for this industry. The January dummy, which indicates whether there is a change in funding in the month of January, resulted in a coefficient with a positive value, demonstrating seasonality in funding. Demand price elasticities showed high values, suggesting high sensitivity of funds to changes in their prices. Price elasticities and cross-elasticities of multimarket funds are greater for private pension plans. As for equity and fixed income funds, the price elasticities of demand are lower in private pension funds, but the cross-subgroup elasticities are higher, indicating that the market share of this good is sensitive to the increase in prices of other competitors.