Are the flows of exchange‐traded funds informative?
分解ETF日度资金流动，发现意外流动成分能显著预测次日ETF收益，知情交易者利用信息优势年化收益达19.16%至22.42%，且该成分还能预测宏观经济和ETF相关新闻。
Abstract This paper provides novel evidence of information asymmetry in exchange‐traded fund (ETF) markets. By decomposing daily ETF flows, we find that the unexpected flow component, orthogonal to the components driven by market making and arbitraging, wields substantial power in predicting next day's ETF returns. Informed traders are able to exploit their information advantage to realize an annualized open‐to‐close return of 19.16% or close‐to‐close return of 22.42%. The informativeness of the unexpected ETF component is further confirmed by its strong power of predicting next day's macroeconomic and ETF‐related news, while the market‐making‐ and arbitraging‐driven components are not closely related to forthcoming news.