Rating Changes and Portfolio Flows to Emerging Markets: Evidence from Active and Passive Funds
Economics Letters, Forthcoming
Posted: 2 Aug 2018 Last revised: 2 Jun 2019
Date Written: February 4, 2019
Abstract
We study the short-term impact of sovereign rating and outlook changes on daily portfolio flows of active and passive mutual funds to emerging market economies. Our results indicate that active bond fund flows react only to negative rating actions, whereas passive bond fund flows are sensitive to both positive and negative rating actions. Active and passive country flows hence do not always follow the same determinants.
Keywords: Emerging Markets, Event Study, Portfolio Flows, Passive Funds, Sovereign Ratings
JEL Classification: E44, F32, G15
Suggested Citation: Suggested Citation
Bannier, Christina E. and Heyden, Thomas and Tillmann, Peter, Rating Changes and Portfolio Flows to Emerging Markets: Evidence from Active and Passive Funds (February 4, 2019). Economics Letters, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3212563 or http://dx.doi.org/10.2139/ssrn.3212563
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.