Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 14, 2022 erstellt
Description:
This paper analyzes drivers of capital flows channelled by mutual funds, disentangling capital flows resulting from investor behavior and those resulting from fund manager reallocation. We construct a novel dataset of global bond funds for the period 2011 to 2017 and investing in 18 emerging market economies. By disaggregating flows into investor flows and manager reallocation, we are able to generate novel insights into the behavior of fund managers. Our regression results show differentiated effects of push and pull factors on investor flows versus manager reallocation. We find that managers partially offset investor responses to external variables. Additionally, we assess the importance of fund-level covariates, e.g. liquidity, leverage, and benchmark effects, and find evidence of a ‘safe-haven” effect, whereby managers allocate towards “safe” EMEs during periods of high global risk aversion