How Have ETFs Changed Market Macro Efficiency and Risk Structure?
研究了ETF的普及如何提高股票市场的宏观效率，通过R平方作为代理指标，分析ETF对信息传递和市场效率的影响。
In the late 1990s, Samuelson offered a dictum suggesting that the equity market, although micro efficient, is also macro inefficient. That is, at the aggregate level, the market does not accurately reflect the available information. We further explore this dictum in the context of a market that has evolved to provide larger options for trading across the whole spectrum of investors. We argue that the macro efficiency of the stock market has been increasing over the past 20 years. We show that the development and adoption of exchange-traded funds (ETFs) have played a major role in the transmission of information to the market, resulting in an increase in market macro efficiency. Our approach is based on the R-squared of the market model explaining US stock and sector returns. First, we propose these R-squared values as a proxy for market macro efficiency. Then, we use regression analyses at the individual stock and sector levels to observe the relationship between the rise in ETFs and market macro efficiency. Finally, we use extrafinancial data related to the awareness and adoption of ETFs to confirm their contribution.