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Beta as a determinant of investor activity in sector exchange-traded funds
Stockholm University, Faculty of Social Sciences, Stockholm Business School.ORCID iD: 0000-0003-3378-7543
2016 (English)In: Quarterly Review of Economics and Finance, ISSN 1062-9769, E-ISSN 1878-4259, Vol. 65, 137-145 p.Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
2016. Vol. 65, 137-145 p.
Keyword [en]
Exchange-traded fund, Investor activity, Investment decisions, Beta
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-132244DOI: 10.1016/j.qref.2016.06.006OAI: oai:DiVA.org:su-132244DiVA: diva2:950777
Available from: 2016-08-02 Created: 2016-08-02 Last updated: 2017-10-05Bibliographically approved

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Peltomäki, Jarkko
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