资本流动：投资基金组合经理的角色

IF 3.8 1区经济学 Q1 ECONOMICS

Journal of International Economics Pub Date : 2025-02-17 DOI:10.1016/j.jinteco.2025.104062

Georgia Bush , Carlos Cañón

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引用次数: 0

摘要

本文分析了开放式共同基金引导资本流动的驱动因素，将投资者行为导致的资本流动与基金经理重新配置导致的资本流动分离开来。我们利用晨星公司的安全级别数据，构建了2011年至2017年期间全球债券基金的新数据集，其中包括来自18个新兴市场经济体的证券。通过分解流动并利用国家-基金差异，我们能够识别推拉因素对投资者流动与管理者再配置的不同影响。我们进一步利用基金证券持有数据来实现移位份额估计方法。此外，我们能够提供证据，哪些制度因素正在影响管理者（流动性，杠杆率，基准）。最后，通过对基金招股说明书的文本分析，我们构建了一个衡量基金经理自由裁量权的指标，并对“缩减恐慌”（Taper Tantrum）执行了差中差规范，发现基金经理自由裁量权较高的基金更不容易从新兴市场中撤资。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Capital flows: The role of investment fund portfolio managers

This paper analyzes drivers of capital flows channeled by open-ended mutual funds, disentangling flows resulting from investor behavior and those resulting from fund manager reallocation. Using security-level data from Morningstar, we construct a novel dataset of global bond funds for the period 2011 to 2017, whose holdings include securities from 18 emerging market economies. By disaggregating flows and leveraging country-fund variation, we are able to identify differentiated effects of push and pull factors on investor flows versus manager reallocation. We exploit the fund security holdings data further to implement a shift-share estimation approach. In addition, we are able to provide evidence of what institutional factors are influencing managers (liquidity, leverage, benchmarks). Finally, using textual analysis of funds’ prospectuses, we construct a measure of manager discretion, execute a difference-in-difference specification for the Taper Tantrum, and find funds with higher manager discretion were less prone to disinvesting from EMEs.

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来源期刊

Journal of International Economics ECONOMICS-

CiteScore

5.80

自引率

6.10%

发文量

期刊介绍： The Journal of International Economics is intended to serve as the primary outlet for theoretical and empirical research in all areas of international economics. These include, but are not limited to the following: trade patterns, commercial policy; international institutions; exchange rates; open economy macroeconomics; international finance; international factor mobility. The Journal especially encourages the submission of articles which are empirical in nature, or deal with issues of open economy macroeconomics and international finance. Theoretical work submitted to the Journal should be original in its motivation or modelling structure. Empirical analysis should be based on a theoretical framework, and should be capable of replication.