Abusing ETFs

Utpal Bhattacharya, Benjamin Loos, Steffen Meyer, Andreas Hackethal

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Abstrakt

Using data from a large German brokerage, we find that individuals investing in passive exchange-traded funds (ETFs) do not improve their portfolio performance, even before transaction costs. Further analysis suggests that this is because of poor ETF timing as well as poor ETF selection (relative to the choice of low-cost, well-diversified ETFs). An exploration of investor heterogeneity shows that though investors who trade more have worse ETF timing, no groups of investors benefit by using ETFs, and no groups will lose by investing in low-cost, well-diversified ETFs.
OriginalsprogEngelsk
TidsskriftReview of Finance
Vol/bind21
Udgave nummer3
Sider (fra-til)1217-1250
ISSN1572-3097
DOI
StatusUdgivet - 1. maj 2017
Udgivet eksterntJa

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