Retail ETF investing
利用2010至2021年的可交易订单流数据，分析了散户在交易所交易基金（ETF）上的投资特征，包括配置、持有期和业绩，发现散户更偏好杠杆和反向ETF，且交易行为与股票相反，但持有期更长，短期业绩与机构投资者相当。
Abstract Using marketable order flow data, we analyze key characteristics of aggregate retail exchange‐traded fund (ETF) investing from 2010 to 2021, including allocations, holding period and investment performance. Retail traders allocate 12% more dollar volume to leveraged and inverse ETFs versus nonretail traders. Retail ETF trades distinctly increase with prior ETF returns, in contrast to contrarian stock trading. Estimated ETF holding periods are longer for retail investors versus nonretail. Finally, retail and nonretail ETF trades perform similarly over hypothetical holding periods up to one quarter. Overall, we provide policy‐relevant insights into retail investing behaviours, which have been the subject of recent concern.