Abstract

https://ssrn.com/abstract=2022442
 


 



Abusing ETFs


Utpal Bhattacharya


Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management

Benjamin Loos


University of Mannheim - Area Banking, Finance, and Insurance

Steffen Meyer


Leibniz Universität Hannover

Andreas Hackethal


Goethe University Frankfurt - Faculty of Economics and Business Administration; Goethe University Frankfurt - Research Center SAFE

July 11, 2016

Forthcoming in the Review of Finance

Abstract:     
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.

Number of Pages in PDF File: 55

Keywords: household finance, retail investors, ETFs, passive investing, active investing, security selection, market timing

JEL Classification: D14, G11, G28


Open PDF in Browser Download This Paper

Date posted: March 15, 2012 ; Last revised: July 22, 2016

Suggested Citation

Bhattacharya , Utpal and Loos, Benjamin and Meyer, Steffen and Hackethal, Andreas, Abusing ETFs (July 11, 2016). Forthcoming in the Review of Finance. Available at SSRN: https://ssrn.com/abstract=2022442 or http://dx.doi.org/10.2139/ssrn.2022442

Contact Information

Utpal Bhattacharya (Contact Author)
Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management ( email )
Clear Water Bay
Kowloon
Hong Kong
Benjamin Loos
University of Mannheim - Area Banking, Finance, and Insurance ( email )
L5, 2
Mannheim, 68131
Germany
Steffen Meyer
Leibniz Universität Hannover ( email )
Königsworther Platz 1
Hannover, DE 30167
Germany
Andreas Hackethal
Goethe University Frankfurt - Faculty of Economics and Business Administration ( email )
Theodor-W.-Adorno Platz 3
Frankfurt am Main, 60323
Germany
Goethe University Frankfurt - Research Center SAFE ( email )
(http://www.safe-frankfurt.de)
Theodor-W.-Adorno-Platz 3
Frankfurt am Main, 60323
Germany

Feedback to SSRN


Paper statistics
Abstract Views: 8,306
Downloads: 1,376
Download Rank: 9,632