Retail ETF investing

Using marketable order flow data, we analyze key characteristics of aggregate retail exchange‐traded fund (ETF) investing from 2010 to 2021, including allocations, holding period and investment performance. Retail traders allocate 12% more dollar volume to leveraged and inverse ETFs versus nonretail...

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Veröffentlicht in:	European financial management : the journal of the European Financial Management Association 2024-09, Vol.30 (4), p.2305-2342
Hauptverfasser:	Gempesaw, David, Henry, Joseph J., Xiao, Han
Format:	Artikel
Sprache:	eng
Schlagworte:	ETF Exchange traded funds exchange‐traded fund Investment Leverage net dollar volume proportional trading model retail investors Retailing industry Securities markets
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Beschreibung
Zusammenfassung:	Using marketable order flow data, we analyze key characteristics of aggregate retail exchange‐traded fund (ETF) investing from 2010 to 2021, including allocations, holding period and investment performance. Retail traders allocate 12% more dollar volume to leveraged and inverse ETFs versus nonretail traders. Retail ETF trades distinctly increase with prior ETF returns, in contrast to contrarian stock trading. Estimated ETF holding periods are longer for retail investors versus nonretail. Finally, retail and nonretail ETF trades perform similarly over hypothetical holding periods up to one quarter. Overall, we provide policy‐relevant insights into retail investing behaviours, which have been the subject of recent concern.
ISSN:	1354-7798 1468-036X
DOI:	10.1111/eufm.12471