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.本数据集与代码用于发表于《Journal of Financial Economics》（《金融经济学杂志》）的论文《"Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices"》（《机构投资者、异质性基准与资产价格联动性》）中的实证分析。我们从晨星直接（Morningstar Direct）获取的开放式共同基金数据库中，构建了与招股说明书主要基准以及晨星类别（Morningstar categories）相关的总资产时序数据集。我们的样本涵盖1980年3月至2021年5月间所有美国主动管理型股票共同基金。在样本期的每个月度中，我们为每只基金收集如下数据：所有份额类别的总资产规模、招股说明书主要基准、晨星指定的富时罗素（FTSE-Russell）基准，以及晨星类别。基于晨星类别，我们将基金划分为三类：市值风格型（cap-style）、行业板块型（industry-sector）以及国际型（international）。针对九类市值风格细分板块，我们整合了来自六大主流指数提供商的基金基准数据，包括CRSP、道琼斯（Dow Jones）、晨星（Morningstar）、明晟（MSCI）、罗素（Russell）以及标普（Standard & Poor’s）。针对论文第8节的实证分析，我们还使用了道富集团SPDR交易型开放式指数基金（State Street SPDR ETFs）的日收益率时序数据，这些ETF追踪上述九类市值风格细分板块，具体标的包括SPY、SPYV、SPYG、MDY、MDYV、MDYG、SLY、SLYV、SLYG，数据起始时间对应各ETF的成立日期：SPY为1993年2月；MDY为1995年5月；SPYV、SPYG、SLYV、SLYG为2000年10月；SLY、MDYV、MDYG为2005年11月。更多细节请参见论文附录A。