International asset allocations and capital flows: The benchmark effect
| Autor: | Sergio L. Schmukler, Tomas Williams, Claudio Raddatz |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Economics and Econometrics
050208 finance business.industry Bond fund 05 social sciences Diversification (finance) Assets under management Financial system Passive management Monetary economics Index fund Net asset value 0502 economics and business Economics Capital asset pricing model 050207 economics business Finance Mutual fund |
| Zdroj: | International Asset Allocations and Capital Flows: The Benchmark Effect |
| ISSN: | 0022-1996 |
| Popis: | This paper studies channels through which well-known benchmark indexes impact asset allocations and capital flows across countries. The study uses unique monthly micro-level data of benchmark compositions and mutual fund investments during 1996-2012. Benchmarks have important effects on equity and bond mutual fund portfolios across funds with different degrees of activism. Benchmarks explain, on average, around 70 percent of country allocations and have significant impact even on active funds. Benchmark effects are important after controlling for industry, macroeconomic, and country-specific, time-varying effects. Reverse causality does not drive the results. Exogenous, pre-announced changes in benchmarks result in movements in asset allocations mostly when these changes are implemented (not when announced). By impacting country allocations, benchmarks affect capital flows across countries through direct and indirect channels, including contagion. They explain apparently counterintuitive movements in capital flows, generating outflows from countries when upgraded and with large market capitalization and better relative performance. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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