In this paper, we study the impact of sovereign CDS on equity mutual funds across 24 developed and emerging market countries. Our investigation builds on the premise that mutual funds flow and performance respond negatively to increased default risk as measured via sovereign CDS entities. As predicted by our theory, we find that i) sovereign CDS spreads are indeed associated with decreased mutual funds return performance and ii) sovereign CDS spreads covary negatively with subsequent fund flow. This is consistent with investors being sensitive to the pricing information conveyed by the sovereign CDS market. Finally, we find that the impact of sovereign CDS spreads on mutual funds’ performance and flow is more pronounced among emerging market countries. Overall, these findings imply that mutual funds players could make extensive use of the information arising from CDS trading activity. In explaining these results, we emphasize the important implications for investors in mutual funds’ assets portfolios and for country-specific equity funds.

在本文中，我们研究了主权 CDS 对 24 个发达国家和新兴市场国家股票共同基金的影响。我们的调查建立在共同基金流动和业绩对通过主权 CDS 实体衡量的违约风险增加的负面反应的前提下。正如我们的理论所预测的那样，我们发现 i) 主权 CDS 利差确实与共同基金回报表现的下降有关，并且 ii) 主权 CDS 利差与随后的资金流动呈负相关。这与投资者对主权 CDS 市场传达的定价信息很敏感是一致的。最后，我们发现主权 CDS 利差对共同基金业绩和流动的影响在新兴市场国家更为明显。全面的，这些发现意味着共同基金参与者可以广泛使用 CDS 交易活动产生的信息。在解释这些结果时，我们强调了对共同基金资产组合投资者和特定国家股票基金的重要影响。