G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w30234
来源IDWorking 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
URLhttps://www.nber.org/papers/w30234
来源智库National Bureau of Economic Research (United States)
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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.
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