Data and Code for "Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices"
Data and code used for the empirical analysis in the article "Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices" which is published at the Journal of Financial Economics. We construct a time-series of total assets associated with prospectus primary benchmarks and with Morningstar categories using the Open-end Mutual Funds Database obtained form Morningstar Direct. Our sample includes all US actively managed equity mutual funds from March 1980 to May 2021. For each fund in every month of the sample we collect data on the total assets across all share classes, the primary prospectus benchmark, the FTSE-Russell benchmark (assigned by Morningstar), and the Morningstar category. Based on the Morningstar category, we group funds into three categories: cap-style, industry-sector, and international. For each of the nine cap-style segments, we aggregate fund benchmarks from six leading index providers (CRSP, Dow Jones, Morningstar, MSCI, Russell, and Standard & Poor’s). For the empirical analysis in Section 8, we also use the time-series of daily returns of the State Street SPDR ETFs that track the nine cap-style segments (SPY, SPYV, SPYG, MDY, MDYV, MDYG, SLY, SLYV, SLYG) since the inception of each ETF (SPY, February 1993; MDY, May 1995; SPYV, SPYG, SLYV, SLYG, October 2000; SLY, MDYV, MDYG, November 2005). For more details, see Appendix A of the article.