Retail ETF investing

David Gempesaw; Joseph J. Henry; Han Xiao

doi:10.1111/eufm.12471

Retail ETF investing

David Gempesaw, Joseph J. Henry, Han Xiao

Research output: Contribution to journal › Article › peer-review

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.

Original language	English (US)
Pages (from-to)	2305-2342
Number of pages	38
Journal	European Financial Management
Volume	30
Issue number	4
DOIs	https://doi.org/10.1111/eufm.12471
State	Published - Sep 2024
Externally published	Yes

All Science Journal Classification (ASJC) codes

Accounting
General Economics, Econometrics and Finance

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10.1111/eufm.12471

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title = "Retail ETF investing",

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.",

author = "David Gempesaw and Henry, {Joseph J.} and Han Xiao",

note = "Publisher Copyright: {\textcopyright} 2023 The Authors. European Financial Management published by John Wiley & Sons Ltd.",

year = "2024",

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doi = "10.1111/eufm.12471",

language = "English (US)",

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AB - 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.

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Retail ETF investing

Abstract

All Science Journal Classification (ASJC) codes

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