Indexing and and active fund management: International evidence

• 成果类型: Article
• 署名作者: Cremers, Martijn; Ferreira, Miguel A.; Matos, Pedro; Starks, Laura
• 署名单位: University of Notre Dame; Universidade Nova de Lisboa; University of Virginia; University of Texas System; University of Texas Austin
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.02.008
• 发表日期: 2016
• 页码: 539-560
• 关键词: mutual funds; active management; INDEX FUNDS; Exchange-traded funds; Competition Fees; performance

摘要

We examine the relation between indexing and active management in the mutual fund industry worldwide. Explicit indexing and closet indexing by active funds are associated with countries' regulatory and financial market environments. We find that actively managed funds are more active and charge lower fees when they face more competitive pressure from low-cost explicitly indexed funds. A quasi-natural experiment using the exogenous variation in indexed funds generated by the passage of pension laws supports a causal interpretation of the results. Moreover, the average alpha generated by active management is higher in countries with more explicit indexing and lower in countries with more closet indexing. Overall, our evidence suggests that explicit indexing improves competition in the mutual fund industry. (C) 2016 Elsevier B.V. All rights reserved.