Empirical Asset Pricing in Exchange-Traded Funds.
详细信息
- 作者：Starodoumov ; Arsenio.
- 学历：Doctor
- 年：2013
- 毕业院校：University of California
- Department：Management - Ph.D..
- ISBN：9781321023176
- CBH：3627183
- Country：USA
- 语种：English
- FileSize：2183104
- Pages：124
文摘
In this dissertation,I examine empirical asset pricing of the exchange-traded funds with respect to the underlying assets. In the first chapter,I explore the relation between arbitrage,asset comovement and ETF trading. In particular,I measure the amount of a stock that trades indirectly through its inclusion in Exchange Traded Funds ETFs),which I call equivalent volume. I hypothesize that an increase in the equivalent volume of an ETF component stock leads to an increase in its comovement with the other ETF component stocks due to the trading pressure caused by arbitrage. Using a proprietary ETF holdings sample and applying a testing methodology based on dynamic conditional correlations by Engles 2002),I find strong evidence of a positive relation between comovement and contemporaneous equivalent volume at the daily level. My findings contribute to the literature on trading volume and comovement by relating arbitrage-induced trading pressure to the underlying stock comovement. In the second chapter,I investigate the relation between exchange-traded fund ETF) flows and their underlying securities returns using a unique hand-constructed database covering U.S. equity ETFs that adjusts for the flow reporting bias. I find a strong positive relation between daily contemporaneous exchange-traded fund flows and the underlying stocks returns,suggesting a price pressure effect related to the flow activity. This relation is significantly stronger in the more recent period of the sample. At an aggregate level,vector autoregressive VAR) tests show that 38% of the flow shocks price change is reversed after five days,which lends support to price pressure causing the return effect. These results extend the fund flow and microstructure research concerning the price impact of institutional trades to the structurally novel ETF framework.