International Asset Allocations and Capital Flows : The Benchmark Effect

Raddatz, Claudio ; Schmukler, Sergio L. ; Williams, Tomas

World Bank, Washington, DC

关键词: ACCOUNTING;    ACTIVE MANAGEMENT;    ACTIVE SHARE;    AGENCY PROBLEMS;    ARBITRAGE;   

DOI  :  10.1596/1813-9450-6866
RP-ID  :  WPS6866

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

This paper studies channels throughwhich well-known benchmark indexes impact asset allocationsand capital flows across countries. The study uses uniquemonthly micro-level data of benchmark compositions andmutual fund investments during 1996-2012. Benchmarks haveimportant effects on equity and bond mutual fund portfoliosacross funds with different degrees of activism. Benchmarksexplain, on average, around 70 percent of countryallocations and have significant impact even on activefunds. Benchmark effects are important after controlling forindustry, macroeconomic, and country-specific, time-varyingeffects. Reverse causality does not drive the results.Exogenous, pre-announced changes in benchmarks result inmovements in asset allocations mostly when these changes areimplemented (not when announced). By impacting countryallocations, benchmarks affect capital flows acrosscountries through direct and indirect channels, includingcontagion. They explain apparently counterintuitivemovements in capital flows, generating outflows fromcountries when upgraded and with large market capitalizationand better relative performance.