Please use this identifier to cite or link to this item:
Title: Exchange traded funds : a study on the performance-flow relationship.
Authors: Ho, Wei Xiang.
Li, Ke.
Xu, Roy Jiarong.
Keywords: DRNTU::Business::Finance::Funds
Issue Date: 2012
Abstract: This paper studies the flow of funds into and out of domestic equity Exchange-Traded Funds (ETFs) in the United States. Investors use historical returns to make their decisions on fund investment or divestment. They do so asymmetrically by investing more in funds that provided superior returns in the prior period but fail to divest from funds that were in the worst-performing group. This positive relationship holds in both periods of high and low market performance, and it is driven strongly by the 2007 to 2010 sub-period in this study. Also, such an effect persists for the first quarter and then dissipates in the subsequent time periods. In addition, investors in ETFs do not seem to chase star performers within the same-style group, defined by their factor betas or the underlying index they track.
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

Files in This Item:
File Description SizeFormat 
  Restricted Access
690.05 kBAdobe PDFView/Open

Google ScholarTM


Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.