Capital flows: The role of investment fund portfolio managers

• 成果类型: Article
• 署名作者: Bush, Georgia; Canon, Carlos
• 署名单位: Bank of Mexico; University of London; King's College London; Bank of England
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2025.104062
• 发表日期: 2025
• 关键词: capital flows; Emerging markets; Non-bank financial intermediaries; asset allocation

摘要

This paper analyzes drivers of capital flows channeled by open-ended mutual funds, disentangling flows resulting from investor behavior and those resulting from fund manager reallocation. Using security-level data from Morningstar, we construct a novel dataset of global bond funds for the period 2011 to 2017, whose holdings include securities from 18 emerging market economies. By disaggregating flows and leveraging country-fund variation, we are able to identify differentiated effects of push and pull factors on investor flows versus manager reallocation. We exploit the fund security holdings data further to implement a shift-share estimation approach. In addition, we are able to provide evidence of what institutional factors are influencing managers (liquidity, leverage, benchmarks). Finally, using textual analysis of funds' prospectuses, we construct a measure of manager discretion, execute a difference-indifference specification for the Taper Tantrum, and find funds with higher manager discretion were less prone to disinvesting from EMEs.