Gateway to Think Tanks
来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w30234 |
来源ID | Working Paper 30234 |
Common Fund Flows: Flow Hedging and Factor Pricing | |
Winston Wei Dou; Leonid Kogan; Wei Wu | |
发表日期 | 2022-07-11 |
出版年 | 2022 |
语种 | 英语 |
摘要 | Active equity funds care about fund size, affected by fund flows that obey a strong factor structure with the common component responding to macroeconomic shocks. Funds hedge against common flows by tilting their portfolios toward low-flow-beta stocks, while household/retail and index investors overweight high-flow-beta stocks in equilibrium. Consequently, common flows earn a risk premium, leading to a multi-factor asset-pricing model resembling the ICAPM, even with myopic agents and unsophisticated fund clients. Exploiting quasi-experiments induced by the local-natural-disaster occurrences and the unexpected trade-war announcements, we find that an increased outflow risk faced by funds leads to more aggressive flow-hedging portfolio tilts. |
主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
URL | https://www.nber.org/papers/w30234 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/587905 |
推荐引用方式 GB/T 7714 | Winston Wei Dou,Leonid Kogan,Wei Wu. Common Fund Flows: Flow Hedging and Factor Pricing. 2022. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w30234.pdf(721KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。