The Unexpected Activeness of Passive Investors: A Worldwide Analysis of ETFs

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2018-12-31 DOI:10.1093/rapstu/ray011

S. Cheng, M. Massa, H. Zhang

引用次数: 8

Abstract

The global ETF industry provides more complicated investment vehicles than low-cost index trackers. Instead, we find that the real investments of ETFs may deviate from their benchmarks to leverage informational advantages (which leads to a surprising stock-selection ability) and to help affiliated OEFs through cross-trading. These effects are more prevalent in ETFs domiciled in Europe. Moreover, ETF flows seem to respond to additional risk. These results have important normative implications for consumer protection and financial stability. Received March 18, 2017; Editorial decision October 14, 2018 by Editor Raman Uppal. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

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被动投资者的意外活跃:全球etf分析

与低成本指数追踪基金相比，全球ETF行业提供了更为复杂的投资工具。相反，我们发现etf的实际投资可能偏离其基准，以利用信息优势(这导致令人惊讶的选股能力)，并通过交叉交易帮助关联的OEFs。这些影响在欧洲注册的etf中更为普遍。此外，ETF资金流动似乎会对额外风险做出反应。这些结果对消费者保护和金融稳定具有重要的规范意义。2017年3月18日收稿;编辑决定2018年10月14日，编辑拉曼·乌帕尔。作者们提供了一份互联网附录，可以在牛津大学出版社的网站上找到，就在最终发表论文的链接旁边。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.