How Do Smart Beta ETFs Affect the Asset Management Industry? Evidence from Mutual Fund Flows-曹杰 (香港中文大学)

来源:澳门尼威斯人网站8311点击数:1268更新时间:2017-04-12

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.

报告人:曹杰    副教授

时  间:2017-04-24    14:00

地  点:竞秀南楼103室

举办单位:经济与金融研究院  科研部、

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