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

流动性，风格投资和ETF收益过度联动

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

摘要：本文的研究发现，交易型开放式指数基金的错误定价，即ETF交易价格与资产净值（NAV）分化，在不同的ETF中存在过度联动。对于进行相似（不同）投资的ETF，过度联动显著正（负）相关。基于收益反转的进一步实验表明，错误定价来源于ETF，而非NAV价格。在有着高度的需求冲击共性，并显示出有吸引力的流动性特征的ETF中，过度联动更强烈。观点认为，ETF的高度流动性会吸引对投资风格有相似需求的短期噪声交易者，本文的结论与此一致。

关键词：交易型开放式指数基金，过度联动，相似需求，流动性投资者，风格投资

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

原文链接： http://www.sciencedirect.com/science/article/pii/S1386418116301197

翻译：黄怡文