{"title":"零售 ETF 投资","authors":"David Gempesaw, Joseph J. Henry, Han Xiao","doi":"10.1111/eufm.12471","DOIUrl":null,"url":null,"abstract":"<p>Using marketable order flow data, we analyze key characteristics of aggregate retail exchange-traded fund (ETF) investing from 2010 to 2021, including allocations, holding period and investment performance. Retail traders allocate 12% more dollar volume to leveraged and inverse ETFs versus nonretail traders. Retail ETF trades distinctly increase with prior ETF returns, in contrast to contrarian stock trading. Estimated ETF holding periods are longer for retail investors versus nonretail. Finally, retail and nonretail ETF trades perform similarly over hypothetical holding periods up to one quarter. Overall, we provide policy-relevant insights into retail investing behaviours, which have been the subject of recent concern.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"30 4","pages":"2305-2342"},"PeriodicalIF":2.1000,"publicationDate":"2023-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/eufm.12471","citationCount":"0","resultStr":"{\"title\":\"Retail ETF investing\",\"authors\":\"David Gempesaw, Joseph J. Henry, Han Xiao\",\"doi\":\"10.1111/eufm.12471\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>Using marketable order flow data, we analyze key characteristics of aggregate retail exchange-traded fund (ETF) investing from 2010 to 2021, including allocations, holding period and investment performance. Retail traders allocate 12% more dollar volume to leveraged and inverse ETFs versus nonretail traders. Retail ETF trades distinctly increase with prior ETF returns, in contrast to contrarian stock trading. Estimated ETF holding periods are longer for retail investors versus nonretail. Finally, retail and nonretail ETF trades perform similarly over hypothetical holding periods up to one quarter. Overall, we provide policy-relevant insights into retail investing behaviours, which have been the subject of recent concern.</p>\",\"PeriodicalId\":47815,\"journal\":{\"name\":\"European Financial Management\",\"volume\":\"30 4\",\"pages\":\"2305-2342\"},\"PeriodicalIF\":2.1000,\"publicationDate\":\"2023-12-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://onlinelibrary.wiley.com/doi/epdf/10.1111/eufm.12471\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"European Financial Management\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1111/eufm.12471\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"European Financial Management","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/eufm.12471","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Using marketable order flow data, we analyze key characteristics of aggregate retail exchange-traded fund (ETF) investing from 2010 to 2021, including allocations, holding period and investment performance. Retail traders allocate 12% more dollar volume to leveraged and inverse ETFs versus nonretail traders. Retail ETF trades distinctly increase with prior ETF returns, in contrast to contrarian stock trading. Estimated ETF holding periods are longer for retail investors versus nonretail. Finally, retail and nonretail ETF trades perform similarly over hypothetical holding periods up to one quarter. Overall, we provide policy-relevant insights into retail investing behaviours, which have been the subject of recent concern.
期刊介绍：
European Financial Management publishes the best research from around the world, providing a forum for both academics and practitioners concerned with the financial management of modern corporation and financial institutions. The journal publishes signficant new finance research on timely issues and highlights key trends in Europe in a clear and accessible way, with articles covering international research and practice that have direct or indirect bearing on Europe.
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