The Shift from Active to Passive Investing: Potential Risks to Financial Stability?
The Shift from Active to Passive Investing: Potential Risks to Financial Stability?
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从主动投资向被动投资的转变：金融稳定的潜在风险？
DOI：
10.17016/feds.2018.060
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发表时间：
2018
期刊：
影响因子：
--
通讯作者：
Chaehee Shin
中科院分区：
文献类型：
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作者：
Kenechukwu Anadu;Mathias S. Kruttli;Patrick E. McCabe;Emilio Osambela;Chaehee Shin
在过去的几十年里，资产从主动投资策略转向被动投资策略。我们通过四个不同的渠道来研究这种转变对金融稳定的潜在影响：（1）对投资基金的影响？流动性转换和赎回风险;（2）放大市场波动的被动策略;（3）资产管理行业集中度的增加;以及（4）对指数中包含的资产的估值，波动性和联动性的影响。总体而言，从主动投资策略到被动投资策略的转变似乎增加了某些类型的风险，同时减少了其他类型的风险：这种转变可能降低了流动性转换风险，尽管一些被动策略放大了市场波动，被动基金的增长正在增加资产管理行业的集中度。我们发现了各种各样的证据，表明被动投资有助于资产的共同运动。最后，我们使用我们的框架来评估如果向被动投资的转变继续下去，金融稳定风险可能会如何演变，并指出被动投资的一些影响最终可能会减缓其增长。
The past couple of decades have seen a significant shift in assets from active to passive investment strategies. We examine the potential effects of this shift on financial stability through four different channels: (1) effects on investment funds? liquidity transformation and redemption risks; (2) passive strategies that amplify market volatility; (3) increases in asset-management industry concentration; and (4) the effects on valuations, volatility, and comovement of assets that are included in indexes. Overall, the shift from active to passive investment strategies appears to be increasing some types of risk while diminishing others: The shift has probably reduced liquidity transformation risks, although some passive strategies amplify market volatility, and passive-fund growth is increasing asset-management industry concentration. We find mixed evidence that passive investing is contributing to the comovement of assets. Finally, we use our framework to assess how financial stability risks are likely to evolve if the shift to passive investing continues, noting that some of the repercussions of passive investing ultimately may slow its growth.