Betting on mean reversion in the VIX? Evidence from ETP flows
研究了投资者如何利用VIX交易所交易产品（ETP），发现VIX上升后资金流出，表明投资者预期市场风险均值回归，且未考虑系统性风险因子。
We investigate how investors apply VIX ETPs with long VIX exposure by analyzing the relation between the flows of these products and the VIX. We find that increases in the VIX are followed by outflows meaning that VIX ETP investors, in aggregate reduce their VIX ETP positions immediately after there is an increase in market risk. Since the returns of VIX ETPs are closely linked to the VIX, our results imply that VIX ETP investors expect mean reversals in market risk. By comparing the ability of different asset pricing models to predict the flows, we find no evidence that investors in VIX ETPs consider systematic risk factors. Finally, studying the relation between VIX ETP flows and the VIX premium, we find that large outflows following increases in the VIX may be the cause of the low response puzzle in the VIX premium.