主题：A Four-Trillion-Dollar Question: Why Trade ETFs Instead of Their Underlying Stocks?

主讲人：Hongjun Yan，德保罗大学欧洲杯外围竞猜_欧洲杯盘口-投注|官网学教授

时间：11月20日（周三）上午10:00-11:30

地点：4-101教室

语言：英文

摘要：

One answer is that, according to information-based theories, ETFs should be more liquid than their underlying stocks. However, this prediction does not hold for around 90% of US-equity ETFs, a four-trillion-dollar market. We hypothesize that investors are attracted to ETFs for convenience. Consistent with this hypothesis, our estimated convenience costs are higher when there are a priori reasons for higher demand or costlier supply for convenience. Larger ETFs tend to have lower convenience costs, which may help them grow further. This positive feedback loop might have contributed to the rapid ETF market expansion and the highly skewed cross-sectional size distribution.

主讲人介绍：

Hongjun Yan is the Richard H. Driehaus Chair in Behavioral Finance at DePaul University. His research focuses on asset pricing in the presence of frictions, including market imperfections and bounded rationality. His studies have been published in the Review of Economic Studies, Review of Financial Studies, Journal of Monetary Economics, Management Science and the Review of Finance, among other journals. He also serves as associate editor of the Journal of Banking and Finance.

Yan is the winner of the NASDAQ OMX Award for the Best Paper on Asset Pricing presented at the Western Finance Association's 2011 conference. Before joining DePaul, he taught at the Yale School of Management from 2005 to 2015, and at Rutgers University from 2015 to 2016. He has a PhD in finance from London Business School.