Finance Seminar（2017-05）

Topic: How Do Smart Beta ETFs Affect Asset Management Industry? Evidence from Mutual Fund Flows

Speaker: Xintong Zhan, Erasmus University Rotterdam

Time: Wednesday, 8 March, 10:00-11:30

Location: Room 217, Guanghua Building 2

Abstract:

We examine the impact of non-market tracking (smart beta) equity ETFs on how investors evaluate mutual fund performance. We rely on mutual fund flow sensitivity to alphas from different asset pricing models to measure investors’ behavior. Our empirical results show that when such ETFs are actively traded, fund flow sensitivity to alphas from multi-factor models increases. The dominance of CAPM alpha weakens and even disappears during the high trading volume period of such ETFs. The results are robust to different empirical methods and not caused by market tracking ETFs or index mutual funds. The evidence is more pronounced among funds with high exposures to non-market risks and funds with more sophisticated investors.

Introduction:

Dr. Xintong Zhan is an Assistant Professor of Finance (tenure-track) in Erasmus School of Economics, Erasmus University Rotterdam. Her research interests are Corporate Finance, Asset pricing. She holds a B.A. in Finance from Guanghua School of Management, Peking University, and a B.A. Minor in German from College of Foreign Language. She holds a Ph.D. in Finance from The Chinese University of Hong Kong.

//www.erim.eur.nl/people/xintong-zhan/

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