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The Journal of Index Investing

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All Are Not Created Equal: An Exploration of ETF Asset Growth

Pauline Shum and Ken Y. Chen
The Journal of Beta Investment Strategies Winter 2012, 3 (3) 49-61; DOI: https://doi.org/10.3905/jii.2012.3.3.049
Pauline Shum
is an associate professor and director of the Master of Finance program at the Schulich School of Business, York University in Toronto, Canada.
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  • For correspondence: pshum@schulich.yorku.ca
Ken Y. Chen
is a Ph.D. candidate in marketing at the Wilfrid Laurier University School of Business and Economics in Waterloo, Canada.
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  • For correspondence: chen5090@mylaurier.ca
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Abstract

Exchange-traded funds (ETFs) are unique pooled investments. They are traded on a stock exchange, and their shares can be created and redeemed accordingly to demand. Unlike mutual funds, ETFs appeal to both retail and institutional investors. In this article, we examine the drivers of ETF asset growth. In particular, we compare the growth path of ETFs that track an identical underlying index. Our results suggest that individual ETF asset growth is driven not only by asset returns but also by a host of financial/technical and investor attention variables. Importantly, the extent of the influence of specific drivers is conditional on an ETF’s growth stage and clientele. We also explore measurable factors that may influence investor attention.

TOPICS: Exchange-traded funds and applications, portfolio construction, mutual fund performance

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The Journal of Index Investing: 3 (3)
The Journal of Beta Investment Strategies
Vol. 3, Issue 3
Winter 2012
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All Are Not Created Equal: An Exploration of ETF Asset Growth
Pauline Shum, Ken Y. Chen
The Journal of Beta Investment Strategies Nov 2012, 3 (3) 49-61; DOI: 10.3905/jii.2012.3.3.049

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All Are Not Created Equal: An Exploration of ETF Asset Growth
Pauline Shum, Ken Y. Chen
The Journal of Beta Investment Strategies Nov 2012, 3 (3) 49-61; DOI: 10.3905/jii.2012.3.3.049
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  • Article
    • Abstract
    • FACTORS CONTRIBUTING TO ETF ASSET GROWTH
    • DATA AND SUMMARY STATISTICS
    • REGRESSION ANALYSIS AND RESULTS
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
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