Forced to be Active: Evidence from a Regulation Intervention
研究了斯堪的纳维亚监管机构对“指数伪装基金”的干预效果，发现受监管基金选择提高活跃度而非降低费用，导致年化阿尔法下降2%，对投资者不利。
Mutual funds known as closet indexers are marketed as active but actually operate as low-activity funds. Investors end up paying for full service but receiving only a part of it. Supervisory authorities around the world are considering ways to regulate these funds. In this context, we examine the impact of regulatory interventions by Scandinavian regulators. We compare the scrutinized Scandinavian funds with similar unaffected European funds. The findings suggest that the regulated Scandinavian funds preferred increased activity over fee reduction. Consequently, fund managers adopted more active management strategies, resulting in a significant 2% decrease in annual alpha. Therefore, the regulatory interventions resulted in unfavorable outcomes for investors. This paper was accepted by Bo Becker, finance. Funding: This research was supported by funding from the Varekrigsfond for forsikringsaktiviteter at NHH. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2023.03124 .