Mutual Fund Performance and Flows during the COVID-19 Crisis
By Ľuboš Pástor, Blair Vorsatz. Review of Asset Pricing Studies, 2020
257 citations recorded by the source corpus.
Abstract We present a comprehensive analysis of the performance and flows of U.S. actively managed equity mutual funds during the 2020 COVID-19 crisis. We find that most active funds underperform passive benchmarks during the crisis, contradicting a popular hypothesis. Funds with high sustainability ratings perform well, as do funds with high star ratings. Fund outflows surpass precrisis trends, but not dramatically. Investors favor funds that apply exclusion criteria and funds with high sustainability ratings, especially environmental ones. Our finding that investors remain focused on sustainability during this major crisis suggests they view sustainability as a necessity rather than a luxury good.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/56ccbbfe17a4626bbd9cf5032d2724ad7fb6d110
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Citations in the corpus
- ESG risks in times of Covid-19 (2020, background): “1Contemporary to our paper, Pastor and Vorsatz (2020) and Dottling and Kim (2020) also analyse the dynamics of mutual funds during the Covid-19 pandemic.”
- ESG Ratings and Stock Performance during the COVID-19 Crisis (2021, background): “[58] argue that retail investors could incrementally stabilize financial markets, and Pástor and Vorsatz [59] find that passive benchmarks outperformed actively managed funds during the market crash.”
- Corporate immunity to the COVID-19 pandemic (2020, unknown): “3 Following Petersen (2009) , Thompson (2011) and Cameron and Miller (2015) , we cluster by country (61 countries) and use a full set of”