ETF Transaction Costs Are Often Higher Than Investors Realize
研究发现，ETF的买卖价差看似很小，但市场价格与资产净值（NAV）的偏差会导致实际交易成本更高，约10%的时间收盘价偏离NAV超过90个基点，且收盘市价单可能以低于NAV的价格成交。
Exchange-traded funds (ETFs) and other exchange-traded products (ETPs) provide simple and efficient diversification and exposure to a wide range of investment asset classes. However, the apparently small bid–ask spreads for many ETFs can mask much higher transaction costs when ETF market prices deviate significantly from contemporaneous net asset values (NAVs). The deviations from NAV are often much greater than the bid–ask spreads suggest. The authors report that ETF closing prices are more than 90 basis points away from the NAV approximately 10% of the time. Investors’ market-on-close (MOC) orders are likely to be executed at prices below the NAV. <b>TOPICS:</b>Exchange-traded funds and applications, exchanges/markets/clearinghouses, derivatives