| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22829 |
| 来源ID | Working Paper 22829 |
| Exchange Traded Funds (ETFs) | |
| Itzhak Ben-David; Francesco Franzoni; Rabih Moussawi | |
| 发表日期 | 2016-11-14 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | Over nearly a quarter of a century, ETFs have become one of the most popular passive investment vehicles among retail and professional investors due to their low transaction costs and high liquidity. By the end of 2016, the market share of ETFs topped over 10% of the total market capitalization traded on US exchanges, while representing more than 30% of the overall trading volume. ETFs revolutionized the asset management industry by taking market share from traditional investment vehicles such as mutual funds and index futures. Because ETFs rely on arbitrage activity to synchronize their prices with the prices of the underlying portfolio, trading activity at the ETF level translates to trading of the underlying securities. Researchers found that while ETFs enhance price discovery, they also inject non-fundamental volatility to market prices and affect the correlation structure of returns. Furthermore, ETFs impact the liquidity of the underlying portfolios, especially during events of market stress. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w22829 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580503 |
| 推荐引用方式 GB/T 7714 | Itzhak Ben-David,Francesco Franzoni,Rabih Moussawi. Exchange Traded Funds (ETFs). 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w22829.pdf（313KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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