Rating changes and portfolio flows to emerging markets: Evidence from active and passive funds

C-Tier
Journal: Economics Letters
Year: 2019
Volume: 178
Issue: C
Pages: 37-45

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We study the short-term impact of sovereign rating and outlook changes on daily portfolio flows of active and passive mutual funds to emerging market economies. Our results indicate that active bond fund flows react only to negative rating actions, whereas passive bond fund flows are sensitive to both positive and negative rating actions. Active and passive country flows hence do not always follow the same determinants.

Technical Details

RePEc Handle
repec:eee:ecolet:v:178:y:2019:i:c:p:37-45
Journal Field
General
Author Count
3
Added to Database
2026-01-24