The Role of Taxes in the Rise of ETFs
研究发现ETF的税收递延特性使其比共同基金每年为长期投资者多带来1.05%的税后回报，高净值投资者因此将资金从共同基金转向ETF。
Abstract This paper argues that a lesser known yet economically significant tax-deferral feature of ETFs’ security design is crucial to their success. By relying on the in-kind redemption exemption, authorized participants help ETFs avoid distributing capital gains and reduce their tax overhang, partly by deploying heartbeat trades. We estimate that the ETF tax efficiency has increased long-term investors’ after-tax returns by 1.05% per year relative to mutual funds in recent years. Exploiting cross-sectional and time-series variations in investors’ tax burden, we show that tax efficiency is a significant driver of capital migration by high-net-worth investors from mutual funds into ETFs.