The Impact of Exchange-Traded Fund Index Inclusion on Stock Prices
通过实验室实验，研究ETF指数产品需求如何影响资产价格和交易量，发现纳入指数的资产存在显著溢价，且即使允许卖空，溢价仍持续存在。
We report a laboratory experiment examining how demand for exchange-traded fund (ETF) index products affects the prices and trading volume of assets. We compare an environment where the ETF index includes all assets against an environment where a redundant asset is excluded from the index. We find that (i) subjects place significant value on the ETF index asset beyond the value of its constituent assets; (ii) there is a substantial index premium for included assets; and (iii) the index premium persists even when short selling is permitted. The price increases of the constituent assets and of the ETF itself suggest that ETF products can distort markets to some degree. This paper was accepted by David Sraer, finance. Funding: This work was supported the by International Foundation for Research in Experimental Economics Small Grants Program. Supplemental Material: Data and the online appendix are available at https://doi.org/10.1287/mnsc.2022.02125 .