Is the Activeness of ETFs Beneficial to Investors? Evidence from Korean Domestic Stock ETFs

• 발행기관: 한국자료분석학회
• 저자명: Sujung Choi
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.24 No.1, 11~22쪽, 전체 12쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2022.02.28

영문 초록

ETF Activeness is defined as a standard deviation of return difference between ETF market price-based returns and a market portfolio’s returns. This study investigates the Activeness of domestic stock ETFs listed in the Korean market from 2010Q1 to 2020Q4. ETF Activeness strongly predicts fund performance in the following quarter and is positively associated with fees and fund classes. However, Activeness does not show a statistically significant relationship with fund sizes although fund sizes are negatively related to fund performance. As for all domestic stock ETFs, if contemporaneous (lagged) Activeness increases by one standard deviation (i.e., approximately +0.5), the annualized return of ETFs will change by -12.5% (23.5%) a year on average over the sample period. This effect is strengthened in recent years over the period from 2018Q1 to 2020Q4 relative to the earlier period from 2010Q1 to 2017Q4. The magnitudes are also economically significant in the perspective of investors even after netting fees because the highest fee is 0.690% a year for domestic stock ETFs in our sample.

목차

1. Introduction

2. Descriptions of data

3. Empirical results

4. Conclusions

References

키워드

ETF activeness fund performance return predictability fund fees domestic stock ETFs