EFIT Xinyi Huang
On April 24th, Jay Cao, the Associate Professor of the Department of Finance at The Chinese University of Hong Kong, gave a talk entitled "How Do Smart Beta ETFs Affect the Asset Management Industry? Evidence from Mutual Fund Flows" in the Institute. Faculty members and students of the Institute attended the seminar.
Professor Cao started the topic with the classic asset pricing model CAPM and APT. He talked about the advantages and limitations of the two models. Afterwards, he introduced the impact of non-market-tracking (Smart Beta) ETFs on the mutual fund flow. Their results show that flow sensitivity to alphas from multi-factor models increases with the increasing transactions of such ETFs. In addition, the evidence is more pronounced among mutual funds with high exposure to non-market risks and funds with more sophisticated investors.