Competition for Attention in the ETF Space
研究发现，专业ETF在发行后五年内风险调整回报损失约30%，原因并非高费用或对冲需求，而是发行时标的股票被高估，表明供应商迎合投资者外推信念，发行追踪吸引眼球主题的专业ETF。
Abstract The interplay between investors’ demand and providers’ incentives has shaped the evolution of exchange-traded funds (ETFs). While early ETFs invested in broad-based indexes and therefore offered diversification at low cost, more recent products track niche portfolios and charge high fees. Strikingly, over their first 5 years, specialized ETFs lose about 30$\%$ (risk-adjusted). This underperformance cannot be explained by high fees or hedging demand. Rather, it is driven by the overvaluation of the underlying stocks at the time of the launch. Our results are consistent with providers catering to investors’ extrapolative beliefs by issuing specialized ETFs that track attention-grabbing themes.