主 题：How Do Smart Beta ETFs Affect the Asset Management Industry? Evidence from Mutual Fund Flows
内容简介：We examine the impact of non-market-tracking (smart beta) equity exchange-traded funds (ETFs) on how investors evaluate mutual fund performance. We rely on mutual fund flow sensitivity to alphas from different asset pricing models to measure investor behavior. Our empirical results show that when such ETFs are actively traded, fund flow sensitivity to alphas from multi-factor models increases. The dominance of CAPM alpha weakens and even disappears during the high trading volume period of such ETFs. The results, which are robust to different empirical methods, are not caused by market-tracking ETFs or index mutual funds. The evidence is more pronounced among funds with high exposure to non-market risks and funds with more sophisticated investors.
时 间：2017-04-24 14:00