Review of Finance, Volume 22, Issue 1, February 2018

投资者赎回与基金经理卖出新兴市场债券是否相关？

作者：Jimmy Shek (Bank for International Settlements, Switzerland)

Ilhyock Shim (Bank for International Settlements, Switzerland)

Hyun Song Shin (Bank for International Settlements, Switzerland)

摘要：开放式共同基金的资产组合既反映了最终投资者的资金流动，同时也反映了基金经理的自营交易。我们提出了一种将共同基金资产持有量的变化分解为投资者交易、基金经理自营销售和估值效应的方法。我们发现，基金经理的自营销售会强化由于投资者赎回导致的销售效应。我们还发现，每100美元的债券销售与价值约4美元的估值损失相关。最后,我们发现,新兴市场经济（EME）债券收益率每增长1%会导致EME债券基金持有价值下降9?10%。

Investor Redemptions and Fund Manager Sales of Emerging Market Bonds: How Are They Related?

Jimmy Shek (Bank for International Settlements, Switzerland), Ilhyock Shim (Bank for International Settlements, Switzerland), Hyun Song Shin (Bank for International Settlements, Switzerland)

ABSTRACT

Asset portfolios of open-end mutual funds reflect both the fund flows from ultimate investors as well as discretionary trading by the fund managers. We propose a method for decomposing the change in mutual fund asset holdings into the parts due to investor flows, fund manager discretionary sales, and valuation effects. We find that discretionary sales tend to reinforce the sales due to investor redemptions. We also find that 100 dollars’ worth of bond sales is associated with around 4 dollars’ worth of valuation losses. Finally, we show that a one percentage point increase in emerging market economy (EME) bond yields is associated with a 9?10% decline in the dollar value of EME bond fund holdings.

原文链接：https://academic.oup.com/rof/article-abstract/22/1/207/4587565?redirectedFrom=fulltext

翻译：阙江静