Konferenzpaper
Autorenliste: Bannier, Christina E.; Heyden, Thomas; Tillmann, Peter
Jahr der Veröffentlichung: 2018
Konferenz: European Financial Management Association Annual Meeting
We study the impact of sovereign rating and outlook revisions on the course of daily portfolio ows to emerging market economies. More specifically, our main question is whether the impact differs when the ows originate from either actively or passively managed mutual funds located in advanced economies. We answer this question by conducting a modified event study, which accounts for potential cross-border spillover effects. The results show that actively and passively managed fund ows indeed react differently when sovereign ratings and outlooks are revised. Furthermore, the results suggest that the reactions vary strongly depending on the respective region receiving the flows.
Abstract:
Zitierstile
Harvard-Zitierstil: Bannier, C., Heyden, T. and Tillmann, P. (2018) Rating Changes and Portfolio Flows: Evidence from Active and Passive Funds, European Financial Management Association Annual Meeting, Milan, June 27-30, 2018. https://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2018-Milan/papers/EFMA2018_0374_fullpaper.pdf
APA-Zitierstil: Bannier, C., Heyden, T., & Tillmann, P. (2018, June 27-30, 2018). Rating Changes and Portfolio Flows: Evidence from Active and Passive Funds. European Financial Management Association Annual Meeting, Milan. https://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2018-Milan/papers/EFMA2018_0374_fullpaper.pdf
