How Do ETFs Affect Asset Management Industry? Evidence from Mutual FundFlows
讲座名称：
How Do ETFs Affect Asset Management Industry? Evidence from Mutual FundFlows
讲座时间：
2017-02-24
讲座人：
曹杰
形式：
校区：
兴庆校区
实践学分：
讲座内容：
讲座一：
讲座题目：How Do ETFs Affect Asset Management Industry? Evidence from Mutual FundFlows
讲座时间：2017年2月24日下午2：30-3:30
讲座地点：主A-104
主持人：曾卫红
讲座人：曹杰
论文摘要：We examine the impact of non-market tracking ETFs on how investors evaluatemutual fund performance. We rely on mutual fund flow sensitivity to alphas fromdifferent factor models to measure investors’ behavior. Our empirical resultsshow that when the non-market tracking ETFs are actively traded, fund flowsensitivity to alphas from three-factor, four-factor, and seven-factor modelsincreases. The dominance of CAPM alpha weakens and even disappears during thehigh trading volume period of the non-market tracking ETFs. The results arerobust to different measures and different empirical methods. Our documentedevidence is driven by funds with high exposure to non-market risk factors (SMBand HML) and funds with more sophisticated investors.
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