喻园管理论坛2022年第6期(总第775期)

演讲主题: Hedge Fund Investment in ETFs

主 讲 人: Douglas Cumming，美国佛罗里达大西洋大学商学院特聘教授

主 持 人: 李安泰，威尼斯欢乐娱人城·首页财务金融系讲师

活动时间: 2022年5月5日（周四）9:00-10:30

活动地点: ZOOM会议，会议ID：952 8125 2737   密码：1037

主讲人简介：

Douglas Cumming, J.D., Ph.D., CFA, 是美国佛罗里达大西洋大学商学院的金融和创业学特聘教授。他的研究领域为资本市场操纵、创业投资，私募股权投资、股权众筹和对冲基金等。Douglas 在金融、管理、法律和经济学领域的权威学术期刊上发表了超过 195 篇文章，例如Academy of Management Journal, Journal of Financial and Quantitative Analysis, Journal of Financial Economics, Review of Financial Studies, and Journal of International Business Studies。他的著作在 Google Scholar上被引用超过 19,000 次。他曾是Journal of Corporate Finance主编，现任Review of Corporate Finance和British Journal of Management的主编。 Douglas 出版了 21 部学术著作，包括 Crowdfunding: Fundamental Cases, Facts, and Insights (Elsevier Academic Press, 2019)。

活动简介：

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 (outflows) cause a rise (reduction) in ETF investments, and the economic significance of unexpected flow is more than twice as large for transient than quasi-indexer hedge funds. Expected hedge fund flows are statistically unrelated to ETF investments on average. When ETF investment is accompanied by an increase in unexpected flow, hedge fund alphas are higher. When ETF investment is accompanied by an increase in expected flow, hedge fund alphas are lower. The data are consistent with the view that hedge fund ETF investment unrelated to unexpected flow is an agency cost of delegated portfolio management.