Download This PaperRetail ETF Investing
79 Pages Posted: 29 Nov 2023
Date Written: November 11, 2023
Abstract
Using marketable order flow data, we analyze key characteristics of aggregate retail 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 non-retail 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 non-retail. Finally, retail and non-retail ETF trades perform similarly over hypothetical holding periods up to one quarter. Overall, we provide policy-relevant insights into retail investing behaviors, which have been the subject of recent concern.
Keywords: exchange-traded fund, ETF, retail investors, net dollar volume, proportional trading model
JEL Classification: G11, G12, G23
Suggested Citation: Suggested Citation
Joseph J. Henry
Northeastern University - D’Amore-McKim School of Business ( email )
360 Huntington Ave.
Boston, MA 02115
United States
