国际清算银行-ETF作为一种纪律手段（英）

BIS Working Papers No 1261 ETFs as a disciplinary device by Yuet Chau, Karamfil Todorov and Eyub Yegen Monetary and Economic Department April 2025 JEL classification: G10, G11, G12, G20, G23 Keywords: ETF, mutual funds, performance, flow, active fund management BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors and not necessarily the views of the BIS. This publication is available on the BIS website (www.bis.org). © Bank for International Settlements 2025. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISSN 1020-0959 (print) ISSN 1682-7678 (online) ETFs as a disciplinary device∗Yuet Chau†Karamfil Todorov‡Eyub Yegen§December 21, 2024AbstractWe document a novel feature of active exchange-traded funds (AETFs): they serveas a disciplinary tool for investors to remove underperforming portfolio managers.Unlike mutual fund shares, ETF shares can be shorted, which enables investorsto bet against manager performance. We show that AETFs exhibit over five timesgreater flow-performance sensitivity than mutual funds, indicating that AETF man-agers face harsher penalties for poor performance. When an underperforming man-ager joins an AETF, investors respond by shorting more shares of the fund. Conse-quently, this manager is more likely to exit the fund management industry, therebyenhancing overall sector efficiency and allowing more high-performing managers toremain. Moreover, the stocks held within AETFs exhibit improved price informa-tiveness. We also find that AETF managers outperform both mutual fund andpassive fund managers. In summary, the short-selling feature of AETFs serves asa disciplining device and enhances market efficiency by facilitating the removal ofunderperforming managers.JEL classification: G10, G11, G12, G20, G23.Keywords: ETF, Mutual Funds, Performance, Flow, Active Fund Management∗The views expressed in this paper are those of the authors and do not necessarily represent thoseof the Bank for International Settlements (BIS). For helpful comments and discussions, we are gratefulto seminar participants at BIS, Hong Kong University of Science and Technology, Chinese University ofHong Kong, York University, and St. Gallen Financial Economics Workshop.†Hong Kong University of Science and Technology. Email: yuet.chau@connect.ust.hk‡Bank for International Settlements. Email: karamfil.todorov@bis.org§Hong Kong University of Science and Technology. Email: yegen@ust.hk1Introduction“Short sellers have ramped up bets against Cathie Wood’s flagship Ark innovationfund as belief in its [active] strategy shows signs of faltering. A record 12 per centof the ARKK exchange traded fund’s