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

See all articles by Christina E. Bannier

Christina E. Bannier

Justus-Liebig-University Giessen

Thomas Heyden

Bain & Company - Bain & Company Germany Inc.

Peter Tillmann

University of Giessen

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

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

Christina E. Bannier

Justus-Liebig-University Giessen ( email )

Licher Str. 62
Gießen, 35394
Germany
+49 641 99 22551 (Phone)

Thomas Heyden (Contact Author)

Bain & Company - Bain & Company Germany Inc. ( email )

Bleichstr. 14
40211 Düsseldorf
Germany

Peter Tillmann

University of Giessen ( email )

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