国际清算银行-ETF作为一种纪律手段（英）-2025.4_63页_1mb

ETFs as a Disciplining Device

BIS Working Paper ETFs serve as a disciplinary mechanism for active fund managers due to their unique features. Unlike mutual funds, ETF shares can be shorted, enabling investors to exert pressure on underperforming managers. This paper demonstrates that active ETFs (AETFs) exhibit five times greater flow-performance sensitivity than mutual funds (MFs), as higher short interest correlates with reduced fund inflows and eventual manager exits. The research shows that heavily shorted managers are more likely to leave the industry, improving overall market efficiency. AETFs also feature higher portfolio turnover, momentum, and idiosyncratic risk, suggesting increased incentive-seeking. The findings highlight that AETFs act as a market-based discipline tool, enhancing fund management efficiency, but may encourage risk-taking and face trade-offs between cost savings and managerial accountability.

Key Points:

• AETFs have significantly higher flow-performance sensitivity compared to MFs.
• Short selling powerfully predicts future fund outflows and manager turnover.
• Best-performing managers are more likely to oversee AETFs than passive options.
• AETFs adopt riskier investment styles that align with their performance sensitivity.
• AETF managers are more likely to exit the industry if shorted heavily.