Beta as a determinant of investor activity in sector exchange-traded funds
The Quarterly Review of Economics and Finance, 2017, vol. 65, issue C, 137-145
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.
Keywords: Exchange-traded fund; Investor activity; Investment decisions; Beta (search for similar items in EconPapers)
JEL-codes: G11 G23 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:65:y:2017:i:c:p:137-145
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