Arbeitspapier
Hedge fund investment in ETFs
This paper examines the causes and consequences of hedge fund investments in exchange traded funds (ETFs) using U.S. data from 1998 to 2018. The data indicate that transient hedge funds and quasi-indexer hedge funds are substantially more likely to invest in ETFs. Unexpected hedge fund inflows cause a rise in ETF investments, and the economic significance of unexpected flow is more than twice as large for transient than quasi-indexer hedge funds. ETF investment is in general associated with lower hedge fund performance. But when ETF investment is accompanied by an increase in total flow and unexpected flow, the negative impact of ETF holdings on performance is mitigated. The data are consistent with the view that hedge fund ETF investment unrelated to unexpected flow is an agency cost of delegated portfolio management.
- Language
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Englisch
- Bibliographic citation
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Series: CFS Working Paper Series ; No. 699
- Classification
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Wirtschaft
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- Subject
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Hedge funds
Exchange traded funds
ETFs
Agency costs
Active investors
Delegated portfolio management
- Event
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Geistige Schöpfung
- (who)
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Cumming, Douglas J.
Monteiro, Pedro
- Event
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Veröffentlichung
- (who)
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Goethe University Frankfurt, Center for Financial Studies (CFS)
- (where)
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Frankfurt a. M.
- (when)
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2023
- Handle
- URN
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urn:nbn:de:hebis:30:3-689869
- Last update
-
10.03.2025, 11:46 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Cumming, Douglas J.
- Monteiro, Pedro
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Time of origin
- 2023