International Asset Allocations and Capital Flows : The Benchmark Effect
This paper studies channels through which well-known benchmark indexes impact asset allocations and capital flows across countries. The study uses unique monthly micro-level data of benchmark compositions and mutual fund investments during 1996-201...
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| Format: | Policy Research Working Paper |
| Language: | English en_US |
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World Bank, Washington, DC
2014
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| Online Access: | http://documents.worldbank.org/curated/en/2014/05/19496736/international-asset-allocations-capital-flows-benchmark-effect http://hdl.handle.net/10986/18337 |
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okr-10986-18337 |
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oai_dc |
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Digital Repository |
| institution_category |
Foreign Institution |
| institution |
Digital Repositories |
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World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
English en_US |
| topic |
ACCOUNTING ACTIVE MANAGEMENT ACTIVE SHARE AGENCY PROBLEMS ARBITRAGE ASSET ALLOCATION ASSET ALLOCATIONS ASSET CLASS ASSET LIQUIDATION ASSET MANAGEMENT ASSET MANAGERS ASSET PRICES ASSET PRICING ASSETS UNDER MANAGEMENT AVERAGE FUND BALANCE OF PAYMENTS BASELINE RESULTS BEHAVIOR OF MUTUAL FUNDS BENCHMARK BENCHMARK ASSET BENCHMARK INDEX BENCHMARK INDEXES BENCHMARK PORTFOLIO BENCHMARK RETURNS BENCHMARKS BOND BOND FUNDS BOND INDEXES BOND INVESTORS BOND MARKET BOND MUTUAL FUND BONDS CAPITAL ACCOUNT CAPITAL ALLOCATION CAPITAL FLOW CAPITAL FLOWS CAPITAL INFLOWS CAPITAL MARKET CAPITAL MARKET FINANCING CAPITAL MARKETS CAPITAL OUTFLOWS CENTRAL BANK CORPORATE GOVERNANCE CORPORATE INVESTMENT COUNTRY PORTFOLIO COUNTRY PORTFOLIOS COUNTRY RISK CREDIT MARKET CREDIT MARKETS CURRENCY DEAD FUNDS DEBT DERIVATIVE DEVELOPMENT POLICY DIVERSIFICATION DOMESTIC MARKETS ELASTICITY EMERGING ECONOMIES EMERGING MARKET EMERGING MARKET FUNDS EMERGING MARKET INDEXES EMERGING MARKETS EQUITIES EQUITY BENCHMARKS EQUITY FUNDS EQUITY INDEXES EQUITY MUTUAL FUND EQUITY MUTUAL FUNDS EXCHANGE RATE FEDERAL RESERVE FEDERAL RESERVE BANK FINANCIAL CONTAGION FINANCIAL CRISIS FINANCIAL FRAGILITY FINANCIAL MARKETS FINANCIAL OPENNESS FINANCIAL SHOCKS FINANCIAL STUDIES FISCAL POLICY FOREIGN ASSETS FOREIGN INVESTORS FOREIGN PORTFOLIO INVESTMENTS FUND ASSETS FUND CHARACTERISTICS FUND FLOWS FUND MANAGER FUND MANAGERS FUND OUTFLOWS FUND RESEARCH GDP GDP PER CAPITA GLOBAL FINANCIAL STABILITY GLOBAL FUNDS GLOBAL INDEX GLOBAL MARKET GLOBALIZATION GLOBALIZATION OF SECURITIES GROSS DOMESTIC PRODUCT GROUP OF FUNDS GROUPS OF FUNDS GROWTH RATE HOLDING INCREASE IN FUND FLOWS INDEX FUNDS INDEX PORTFOLIO INDIVIDUAL FUNDS INDIVIDUAL SECURITIES INDIVIDUAL SECURITY INFLATION INSTITUTIONAL INVESTORS INTERNATIONAL ASSET INTERNATIONAL ASSETS INTERNATIONAL BANK INTERNATIONAL CAPITAL INTERNATIONAL DIVERSIFICATION INTERNATIONAL ECONOMICS INTERNATIONAL EQUITY INTERNATIONAL FINANCE INTERNATIONAL FUNDS INTERNATIONAL INVESTMENT INTERNATIONAL INVESTMENTS INTERNATIONAL MUTUAL FUND INTERNATIONAL MUTUAL FUNDS INTERNATIONAL PORTFOLIO INVESTING INVESTMENT BEHAVIOR INVESTMENT COMPANY INVESTMENT DECISIONS INVESTMENT STRATEGIES INVESTMENT STRATEGY INVESTMENT VEHICLES INVESTOR PSYCHOLOGY INVESTOR SENTIMENT IRRATIONAL EXUBERANCE LEVY LIABILITY LIQUIDATION LIQUIDITY MACROECONOMIC VARIABLES MACROECONOMICS MARKET CAPITALIZATION MARKET CAPITALIZATIONS MARKET COUNTRY MARKET INDEX MARKET INDEXES MARKET INTEGRATION MONETARY FUND MONETARY POLICY MONEY MANAGERS MUTUAL FUND MUTUAL FUND ASSET MUTUAL FUND INDUSTRY MUTUAL FUND INVESTMENTS MUTUAL FUND MANAGERS MUTUAL FUND PERFORMANCE MUTUAL FUND PERFORMANCE EVALUATION MUTUAL FUND PORTFOLIO MUTUAL FUND PORTFOLIOS MUTUAL FUND STRATEGIES MUTUAL FUNDS NAV NEGATIVE SHOCKS NET ASSET NET ASSET VALUE NET ASSETS NET RETURN NET RETURNS PASSIVE FUNDS PASSIVE INVESTMENT PERFORMANCE EVALUATION PERFORMANCE MEASUREMENT POLICY RESPONSES POLITICAL ECONOMY PORTFOLIO ALLOCATION PORTFOLIO ALLOCATIONS PORTFOLIO CHANGES PORTFOLIO CHOICE PORTFOLIO COMPOSITION PORTFOLIO FLOWS PORTFOLIO HOLDINGS PORTFOLIO MANAGEMENT PORTFOLIO MANAGER PORTFOLIO WEIGHT PORTFOLIO WEIGHTS PRICE PRESSURES PRINCIPAL-AGENT PROBLEMS PROSPECTUS PUBLIC INFORMATION REDEMPTIONS REGIONAL FUNDS RESERVE BANK RETAIL INVESTORS RETURN RETURNS RISK AVERSE RISK AVERSION RISK MANAGEMENT S&P SECURITIES SECURITIES MARKETS SECURITY MARKET SOPHISTICATED INVESTORS STOCK MARKET STOCK MARKET RETURNS STOCK RETURN STOCK RETURNS STOCKS SYSTEMIC RISK TRADING TRANSACTION TRANSACTION COSTS TRANSPARENCY TREASURY TYPES OF FUNDS VALUATIONS VOLATILITY |
| spellingShingle |
ACCOUNTING ACTIVE MANAGEMENT ACTIVE SHARE AGENCY PROBLEMS ARBITRAGE ASSET ALLOCATION ASSET ALLOCATIONS ASSET CLASS ASSET LIQUIDATION ASSET MANAGEMENT ASSET MANAGERS ASSET PRICES ASSET PRICING ASSETS UNDER MANAGEMENT AVERAGE FUND BALANCE OF PAYMENTS BASELINE RESULTS BEHAVIOR OF MUTUAL FUNDS BENCHMARK BENCHMARK ASSET BENCHMARK INDEX BENCHMARK INDEXES BENCHMARK PORTFOLIO BENCHMARK RETURNS BENCHMARKS BOND BOND FUNDS BOND INDEXES BOND INVESTORS BOND MARKET BOND MUTUAL FUND BONDS CAPITAL ACCOUNT CAPITAL ALLOCATION CAPITAL FLOW CAPITAL FLOWS CAPITAL INFLOWS CAPITAL MARKET CAPITAL MARKET FINANCING CAPITAL MARKETS CAPITAL OUTFLOWS CENTRAL BANK CORPORATE GOVERNANCE CORPORATE INVESTMENT COUNTRY PORTFOLIO COUNTRY PORTFOLIOS COUNTRY RISK CREDIT MARKET CREDIT MARKETS CURRENCY DEAD FUNDS DEBT DERIVATIVE DEVELOPMENT POLICY DIVERSIFICATION DOMESTIC MARKETS ELASTICITY EMERGING ECONOMIES EMERGING MARKET EMERGING MARKET FUNDS EMERGING MARKET INDEXES EMERGING MARKETS EQUITIES EQUITY BENCHMARKS EQUITY FUNDS EQUITY INDEXES EQUITY MUTUAL FUND EQUITY MUTUAL FUNDS EXCHANGE RATE FEDERAL RESERVE FEDERAL RESERVE BANK FINANCIAL CONTAGION FINANCIAL CRISIS FINANCIAL FRAGILITY FINANCIAL MARKETS FINANCIAL OPENNESS FINANCIAL SHOCKS FINANCIAL STUDIES FISCAL POLICY FOREIGN ASSETS FOREIGN INVESTORS FOREIGN PORTFOLIO INVESTMENTS FUND ASSETS FUND CHARACTERISTICS FUND FLOWS FUND MANAGER FUND MANAGERS FUND OUTFLOWS FUND RESEARCH GDP GDP PER CAPITA GLOBAL FINANCIAL STABILITY GLOBAL FUNDS GLOBAL INDEX GLOBAL MARKET GLOBALIZATION GLOBALIZATION OF SECURITIES GROSS DOMESTIC PRODUCT GROUP OF FUNDS GROUPS OF FUNDS GROWTH RATE HOLDING INCREASE IN FUND FLOWS INDEX FUNDS INDEX PORTFOLIO INDIVIDUAL FUNDS INDIVIDUAL SECURITIES INDIVIDUAL SECURITY INFLATION INSTITUTIONAL INVESTORS INTERNATIONAL ASSET INTERNATIONAL ASSETS INTERNATIONAL BANK INTERNATIONAL CAPITAL INTERNATIONAL DIVERSIFICATION INTERNATIONAL ECONOMICS INTERNATIONAL EQUITY INTERNATIONAL FINANCE INTERNATIONAL FUNDS INTERNATIONAL INVESTMENT INTERNATIONAL INVESTMENTS INTERNATIONAL MUTUAL FUND INTERNATIONAL MUTUAL FUNDS INTERNATIONAL PORTFOLIO INVESTING INVESTMENT BEHAVIOR INVESTMENT COMPANY INVESTMENT DECISIONS INVESTMENT STRATEGIES INVESTMENT STRATEGY INVESTMENT VEHICLES INVESTOR PSYCHOLOGY INVESTOR SENTIMENT IRRATIONAL EXUBERANCE LEVY LIABILITY LIQUIDATION LIQUIDITY MACROECONOMIC VARIABLES MACROECONOMICS MARKET CAPITALIZATION MARKET CAPITALIZATIONS MARKET COUNTRY MARKET INDEX MARKET INDEXES MARKET INTEGRATION MONETARY FUND MONETARY POLICY MONEY MANAGERS MUTUAL FUND MUTUAL FUND ASSET MUTUAL FUND INDUSTRY MUTUAL FUND INVESTMENTS MUTUAL FUND MANAGERS MUTUAL FUND PERFORMANCE MUTUAL FUND PERFORMANCE EVALUATION MUTUAL FUND PORTFOLIO MUTUAL FUND PORTFOLIOS MUTUAL FUND STRATEGIES MUTUAL FUNDS NAV NEGATIVE SHOCKS NET ASSET NET ASSET VALUE NET ASSETS NET RETURN NET RETURNS PASSIVE FUNDS PASSIVE INVESTMENT PERFORMANCE EVALUATION PERFORMANCE MEASUREMENT POLICY RESPONSES POLITICAL ECONOMY PORTFOLIO ALLOCATION PORTFOLIO ALLOCATIONS PORTFOLIO CHANGES PORTFOLIO CHOICE PORTFOLIO COMPOSITION PORTFOLIO FLOWS PORTFOLIO HOLDINGS PORTFOLIO MANAGEMENT PORTFOLIO MANAGER PORTFOLIO WEIGHT PORTFOLIO WEIGHTS PRICE PRESSURES PRINCIPAL-AGENT PROBLEMS PROSPECTUS PUBLIC INFORMATION REDEMPTIONS REGIONAL FUNDS RESERVE BANK RETAIL INVESTORS RETURN RETURNS RISK AVERSE RISK AVERSION RISK MANAGEMENT S&P SECURITIES SECURITIES MARKETS SECURITY MARKET SOPHISTICATED INVESTORS STOCK MARKET STOCK MARKET RETURNS STOCK RETURN STOCK RETURNS STOCKS SYSTEMIC RISK TRADING TRANSACTION TRANSACTION COSTS TRANSPARENCY TREASURY TYPES OF FUNDS VALUATIONS VOLATILITY Raddatz, Claudio Schmukler, Sergio L. Williams, Tomas International Asset Allocations and Capital Flows : The Benchmark Effect |
| relation |
Policy Research Working Paper;No. 6866 |
| description |
This paper studies channels through
which well-known benchmark indexes impact asset allocations
and capital flows across countries. The study uses unique
monthly micro-level data of benchmark compositions and
mutual fund investments during 1996-2012. Benchmarks have
important effects on equity and bond mutual fund portfolios
across funds with different degrees of activism. Benchmarks
explain, on average, around 70 percent of country
allocations and have significant impact even on active
funds. Benchmark effects are important after controlling for
industry, macroeconomic, and country-specific, time-varying
effects. Reverse causality does not drive the results.
Exogenous, pre-announced changes in benchmarks result in
movements in asset allocations mostly when these changes are
implemented (not when announced). By impacting country
allocations, benchmarks affect capital flows across
countries through direct and indirect channels, including
contagion. They explain apparently counterintuitive
movements in capital flows, generating outflows from
countries when upgraded and with large market capitalization
and better relative performance. |
| format |
Publications & Research :: Policy Research Working Paper |
| author |
Raddatz, Claudio Schmukler, Sergio L. Williams, Tomas |
| author_facet |
Raddatz, Claudio Schmukler, Sergio L. Williams, Tomas |
| author_sort |
Raddatz, Claudio |
| title |
International Asset Allocations and Capital Flows : The Benchmark Effect |
| title_short |
International Asset Allocations and Capital Flows : The Benchmark Effect |
| title_full |
International Asset Allocations and Capital Flows : The Benchmark Effect |
| title_fullStr |
International Asset Allocations and Capital Flows : The Benchmark Effect |
| title_full_unstemmed |
International Asset Allocations and Capital Flows : The Benchmark Effect |
| title_sort |
international asset allocations and capital flows : the benchmark effect |
| publisher |
World Bank, Washington, DC |
| publishDate |
2014 |
| url |
http://documents.worldbank.org/curated/en/2014/05/19496736/international-asset-allocations-capital-flows-benchmark-effect http://hdl.handle.net/10986/18337 |
| _version_ |
1764440739058548736 |
| spelling |
okr-10986-183372021-04-23T14:03:44Z International Asset Allocations and Capital Flows : The Benchmark Effect Raddatz, Claudio Schmukler, Sergio L. Williams, Tomas ACCOUNTING ACTIVE MANAGEMENT ACTIVE SHARE AGENCY PROBLEMS ARBITRAGE ASSET ALLOCATION ASSET ALLOCATIONS ASSET CLASS ASSET LIQUIDATION ASSET MANAGEMENT ASSET MANAGERS ASSET PRICES ASSET PRICING ASSETS UNDER MANAGEMENT AVERAGE FUND BALANCE OF PAYMENTS BASELINE RESULTS BEHAVIOR OF MUTUAL FUNDS BENCHMARK BENCHMARK ASSET BENCHMARK INDEX BENCHMARK INDEXES BENCHMARK PORTFOLIO BENCHMARK RETURNS BENCHMARKS BOND BOND FUNDS BOND INDEXES BOND INVESTORS BOND MARKET BOND MUTUAL FUND BONDS CAPITAL ACCOUNT CAPITAL ALLOCATION CAPITAL FLOW CAPITAL FLOWS CAPITAL INFLOWS CAPITAL MARKET CAPITAL MARKET FINANCING CAPITAL MARKETS CAPITAL OUTFLOWS CENTRAL BANK CORPORATE GOVERNANCE CORPORATE INVESTMENT COUNTRY PORTFOLIO COUNTRY PORTFOLIOS COUNTRY RISK CREDIT MARKET CREDIT MARKETS CURRENCY DEAD FUNDS DEBT DERIVATIVE DEVELOPMENT POLICY DIVERSIFICATION DOMESTIC MARKETS ELASTICITY EMERGING ECONOMIES EMERGING MARKET EMERGING MARKET FUNDS EMERGING MARKET INDEXES EMERGING MARKETS EQUITIES EQUITY BENCHMARKS EQUITY FUNDS EQUITY INDEXES EQUITY MUTUAL FUND EQUITY MUTUAL FUNDS EXCHANGE RATE FEDERAL RESERVE FEDERAL RESERVE BANK FINANCIAL CONTAGION FINANCIAL CRISIS FINANCIAL FRAGILITY FINANCIAL MARKETS FINANCIAL OPENNESS FINANCIAL SHOCKS FINANCIAL STUDIES FISCAL POLICY FOREIGN ASSETS FOREIGN INVESTORS FOREIGN PORTFOLIO INVESTMENTS FUND ASSETS FUND CHARACTERISTICS FUND FLOWS FUND MANAGER FUND MANAGERS FUND OUTFLOWS FUND RESEARCH GDP GDP PER CAPITA GLOBAL FINANCIAL STABILITY GLOBAL FUNDS GLOBAL INDEX GLOBAL MARKET GLOBALIZATION GLOBALIZATION OF SECURITIES GROSS DOMESTIC PRODUCT GROUP OF FUNDS GROUPS OF FUNDS GROWTH RATE HOLDING INCREASE IN FUND FLOWS INDEX FUNDS INDEX PORTFOLIO INDIVIDUAL FUNDS INDIVIDUAL SECURITIES INDIVIDUAL SECURITY INFLATION INSTITUTIONAL INVESTORS INTERNATIONAL ASSET INTERNATIONAL ASSETS INTERNATIONAL BANK INTERNATIONAL CAPITAL INTERNATIONAL DIVERSIFICATION INTERNATIONAL ECONOMICS INTERNATIONAL EQUITY INTERNATIONAL FINANCE INTERNATIONAL FUNDS INTERNATIONAL INVESTMENT INTERNATIONAL INVESTMENTS INTERNATIONAL MUTUAL FUND INTERNATIONAL MUTUAL FUNDS INTERNATIONAL PORTFOLIO INVESTING INVESTMENT BEHAVIOR INVESTMENT COMPANY INVESTMENT DECISIONS INVESTMENT STRATEGIES INVESTMENT STRATEGY INVESTMENT VEHICLES INVESTOR PSYCHOLOGY INVESTOR SENTIMENT IRRATIONAL EXUBERANCE LEVY LIABILITY LIQUIDATION LIQUIDITY MACROECONOMIC VARIABLES MACROECONOMICS MARKET CAPITALIZATION MARKET CAPITALIZATIONS MARKET COUNTRY MARKET INDEX MARKET INDEXES MARKET INTEGRATION MONETARY FUND MONETARY POLICY MONEY MANAGERS MUTUAL FUND MUTUAL FUND ASSET MUTUAL FUND INDUSTRY MUTUAL FUND INVESTMENTS MUTUAL FUND MANAGERS MUTUAL FUND PERFORMANCE MUTUAL FUND PERFORMANCE EVALUATION MUTUAL FUND PORTFOLIO MUTUAL FUND PORTFOLIOS MUTUAL FUND STRATEGIES MUTUAL FUNDS NAV NEGATIVE SHOCKS NET ASSET NET ASSET VALUE NET ASSETS NET RETURN NET RETURNS PASSIVE FUNDS PASSIVE INVESTMENT PERFORMANCE EVALUATION PERFORMANCE MEASUREMENT POLICY RESPONSES POLITICAL ECONOMY PORTFOLIO ALLOCATION PORTFOLIO ALLOCATIONS PORTFOLIO CHANGES PORTFOLIO CHOICE PORTFOLIO COMPOSITION PORTFOLIO FLOWS PORTFOLIO HOLDINGS PORTFOLIO MANAGEMENT PORTFOLIO MANAGER PORTFOLIO WEIGHT PORTFOLIO WEIGHTS PRICE PRESSURES PRINCIPAL-AGENT PROBLEMS PROSPECTUS PUBLIC INFORMATION REDEMPTIONS REGIONAL FUNDS RESERVE BANK RETAIL INVESTORS RETURN RETURNS RISK AVERSE RISK AVERSION RISK MANAGEMENT S&P SECURITIES SECURITIES MARKETS SECURITY MARKET SOPHISTICATED INVESTORS STOCK MARKET STOCK MARKET RETURNS STOCK RETURN STOCK RETURNS STOCKS SYSTEMIC RISK TRADING TRANSACTION TRANSACTION COSTS TRANSPARENCY TREASURY TYPES OF FUNDS VALUATIONS VOLATILITY This paper studies channels through which well-known benchmark indexes impact asset allocations and capital flows across countries. The study uses unique monthly micro-level data of benchmark compositions and mutual fund investments during 1996-2012. Benchmarks have important effects on equity and bond mutual fund portfolios across funds with different degrees of activism. Benchmarks explain, on average, around 70 percent of country allocations and have significant impact even on active funds. Benchmark effects are important after controlling for industry, macroeconomic, and country-specific, time-varying effects. Reverse causality does not drive the results. Exogenous, pre-announced changes in benchmarks result in movements in asset allocations mostly when these changes are implemented (not when announced). By impacting country allocations, benchmarks affect capital flows across countries through direct and indirect channels, including contagion. They explain apparently counterintuitive movements in capital flows, generating outflows from countries when upgraded and with large market capitalization and better relative performance. 2014-05-14T22:23:36Z 2014-05-14T22:23:36Z 2014-05 http://documents.worldbank.org/curated/en/2014/05/19496736/international-asset-allocations-capital-flows-benchmark-effect http://hdl.handle.net/10986/18337 English en_US Policy Research Working Paper;No. 6866 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank, Washington, DC Publications & Research :: Policy Research Working Paper Publications & Research |