新冠肺炎危机期间的共同基金业绩和流动

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2020-07-01 DOI:10.1093/rapstu/raaa015

Ľuboš Pástor, Blair Vorsatz

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引用次数: 151

摘要

摘要我们对2020年新冠肺炎危机期间美国主动管理股票共同基金的业绩和流动进行了全面分析。我们发现，在危机期间，大多数主动基金的表现都不如被动基准，这与一个流行的假设相矛盾。可持续性评级高的基金表现良好，星级评级高的也是如此。资金外流超过了危机前的趋势，但并不显著。投资者青睐采用排除标准的基金和可持续性评级高的基金，尤其是环保基金。我们发现，在这场重大危机中，投资者仍然关注可持续性，这表明他们认为可持续性是一种必需品，而不是奢侈品。

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Mutual Fund Performance and Flows during the COVID-19 Crisis

Abstract We present a comprehensive analysis of the performance and flows of U.S. actively managed equity mutual funds during the 2020 COVID-19 crisis. We find that most active funds underperform passive benchmarks during the crisis, contradicting a popular hypothesis. Funds with high sustainability ratings perform well, as do funds with high star ratings. Fund outflows surpass precrisis trends, but not dramatically. Investors favor funds that apply exclusion criteria and funds with high sustainability ratings, especially environmental ones. Our finding that investors remain focused on sustainability during this major crisis suggests they view sustainability as a necessity rather than a luxury good.

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.