Article ID Journal Published Year Pages File Type
5103553 The Quarterly Review of Economics and Finance 2017 13 Pages PDF
Abstract
This study investigates the role of beta along with an extended set of risk characteristics as determinants of ETF flow and ETF trading in sector exchange-traded funds (ETFs). The results reveal that the relation between beta and ETF trading (ETF flow) is decreasing (increasing) and U-shaped (inverse U-shaped). These findings imply, in line with the documented low-risk anomaly, that investors may perceive low-beta ETFs as less desirable alternatives than high-beta ETFs. The shape of the relation between beta and investor activity indicates that it is more important for investors to avoid low beta than to achieve high beta.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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