题目：【JEF】清算ETF基金的决定因素

Journalof Empirical Finance, Volume48, September 2018, Pages 357-373  

清算ETF基金的决定因素

作者：D.Eli Sherrill (Illinois State University)

Jeffrey R.Stark (MiddleTennessee State University)

摘要：交易所交易基金（ETF）市场的规模和影响力都在急剧增加。随着市场规模的增长，清算数量也有所增加。我们发现清算ETF的决定主要基于ETF特征; 但是，我们观察到与基金家族和投资目标特征相关的其他考虑因素。当ETF规模小，并且由陷入困境的基金家族或陷入困境的投资目标推出时，失败的几率更高。我们发现创建时的基金、家族和市场特征极大地影响了ETF的生存可能性。此外，我们观察到平仓ETF的决定与平仓积极管理的共同基金的决定之间存在很少但重要的差异。虽然ETF对其投资目标的收益表现出相对较大的依赖性，但共同基金表现出对其基金特定业绩的更大依赖。

关键词：交易所交易基金；清算；基金平仓

ETFliquidation determinants  

D.Eli Sherrill(Illinois State University)，JeffreyR.Stark (Middle Tennessee State University)  

ABSTRACT

Theexchange-traded fund (ETF) market has dramatically increased in size andinfluence. With this growth, there has been an increase in the number ofliquidations. We find that the decision to liquidate an ETF is primarily basedon ETF characteristics; however, we observe additional considerations relatedto fund family and investment objective characteristics. Failures are morelikely to occur when an ETF is small and when it is launched by a strugglingfamily or into a struggling investment objective. We find fund, family, andmarket characteristics at the time of creation greatly impact an ETF’slikelihood of survival. Furthermore, we observe few, but significant,differences between the decision to close an ETF and the decision to close anactively managed mutual fund. Whereas ETFs show relatively greater dependenceon the well-being of their investment objective, mutual funds show a greaterdependence on their fund specific performance.

Keywords:Exchange-traded fund; Liquidation; Fund closure

原文链接：

https://www.sciencedirect.com/science/article/pii/S0927539818300562

翻译：陈然