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delete2026-09-01
delete0
PRE
AI
C
Caitlin D. Dannhauser *
DOI：10.1093/rfs/hhag080delete
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摘要

摘要

En 中文
追逐表现现象在主动型共同基金、指数型共同基金和ETF中普遍存在，且在宽基和细分基金中，以及在收益的技能和非技能组成部分中均表现出正向的流动-表现敏感性。ETF的敏感性最高，而主动型和指数型共同基金之间的差异不显著。ETF敏感性增强并非由基准设计或交易所交易解释，而是被机构持股所放大。ETF的机构交易遵循动量策略，而非流动管理或基准化。机构羊群行为以及将投资管理外包给模型投资组合的做法，加剧了ETF流动的表现敏感性。

期刊

T
The Review of Financial Studies
IF:
0
论文数:
73
被引数:
0

机构

V
villanova university
学者数:
245
论文数: 110
被引数: 0
B
boston college
学者数:
466
论文数: 179
被引数: 0
引用论文

引用论文

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