Response of ETF flows and long-run returns to investor sentiment

被引:1
|
作者
Kadiyala, Padma [1 ]
机构
[1] Pace Univ, Finance, New York, NY 10038 USA
关键词
Fund flows; Investor sentiment; Market efficiency; Mental accounting bias; ETFs; Behavioral finance; MUTUAL FUND FLOWS; CROSS-SECTION;
D O I
10.1007/s11408-022-00410-1
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
ETFs combine features of open-end and closed-end funds. In this paper, we investigate how the unique characteristics affect ETFs' response to investor sentiment. We employ a novel identification strategy to distinguish between the response of liquidity traders, short-term arbitrageurs and long-term arbitrageurs. We find that liquidity traders respond positively to sentiment, which results in a subsequent cumulative 12-month return of -8%. Long-term arbitrageurs who go long the ETF, and short the underlying asset benefit from this return reversal. Finally, short-term arbitrageurs respond negatively to the Baker and Wurgler (2006) sentiment measure. Their actions are profitable in the long-run as Ells that experience fewer redemptions from shortterm arbitrageurs experience weaker returns reversals.
引用
收藏
页码:489 / 531
页数:43
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