Journal of Financial Markets, Volume 30, September 2016, Pages 27–53

流動性，風格投資和ETF收益過度聯動

作者：Markus S. Broman (Finance Department, Martin J. Whitman School of Management, Syracuse University)

摘要：本文的研究發現，交易型開放式指數基金的錯誤定價，即ETF交易價格與資産淨值（NAV）分化，在不同的ETF中存在過度聯動。對于進行相似（不同）投資的ETF，過度聯動顯著正（負）相關。基于收益反轉的進一步實驗表明，錯誤定價來源于ETF，而非NAV價格。在有着高度的需求沖擊共性，并顯示出有吸引力的流動性特征的ETF中，過度聯動更強烈。觀點認為，ETF的高度流動性會吸引對投資風格有相似需求的短期噪聲交易者，本文的結論與此一緻。

關鍵詞：交易型開放式指數基金，過度聯動，相似需求，流動性投資者，風格投資

Liquidity, style investing and excess comovement of exchange-traded fund returns

Markus S. Broman (Finance Department, Martin J. Whitman School of Management, Syracuse University)

ABSTRACT

This study shows that exchange-traded fund (ETF) misvaluation – based on return differentials between ETFs and their net asset values (NAV) – comove excessively across ETFs. Excess comovements are positive (negative) and significant across ETFs in similar (distant) investment styles. Further tests based on return reversals suggest that misvaluation stems primarily from the ETF, rather than the NAV price. Excess comovements are greater for funds with high commonality in demand shocks and attractive liquidity characteristics. These findings are consistent with the idea that the high liquidity of ETFs attracts a clientele of short-horizon noise traders with correlated demand for investment styles.

Keywords：ETF; Excess comovement; Correlated demand; Liquidity clientele; Style investing

原文鍊接： http://www.sciencedirect.com/science/article/pii/S1386418116301197

翻譯：黃怡文