Review of Finance, Volume 21 Issue 3, May 2017, Pages 1217-1250

ETFs的滥用

作者：Utpal Bhattacharya (Hong Kong University of Science and Technology), Benjamin Loos (University of Mannheim), Steffen Meyer (Leibniz University Hannover), Andreas Hackethal (Goethe University Frankfurt)

摘要：利用一个德国大型证券经纪公司的数据，我们发现个人投资于被动型部分封闭的开放式基金(ETFs)并不能提升投资组合的业绩表现，即使是在不考虑交易成本的情况下，也不能提升投资绩效。更深入的研究表明这主要是由于ETF较低的择时能力和ETF较低的择股能力导致的（特指低成本、高分散的ETFs）。投资者异质性方面的研究表明：尽管交易越多的投资者在ETF择时上更劣势，但是却没有多少投资者从ETFs投资中获益，也没有很多投资者从投资于低成本、高分散性的ETFs中受损。

关键词：家庭金融，ETFs，选股策略，时机选择

Abusing ETFs

Utpal Bhattacharya (Hong Kong University of Science and Technology), Benjamin Loos (University of Mannheim), Steffen Meyer (Leibniz University Hannover), Andreas Hackethal (Goethe University Frankfurt)

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.

原文链接: https://academic.oup.com/rof/article/21/3/1217/2670117/Abusing-ETFs

翻译：汪国颂