本篇論文主要探討影響指數股票型基金 (Exchange traded fund, ETF)上市的關鍵因素。在樣本期間1993年到2006年中,共有367檔指數股票型基金發行上市。為探討共同基金以及投資標的如何影響指數股票型基金上市,我運用幾個資料庫來蒐集資料,包含Center for Research in Security Prices (CRSP), CRSP Survivor-Bias-Free US Mutual Fund Database, and Morningstar/Ibbotson Associate database.。實證結果發現:第一、指數股票型基金的發行者具有擇時發行指數股票型基金的能力。其隱含的意義為,投資人可以在指數股票型基金發行的當下,買進並持有指數股票型基金一到三年能夠獲得正的異常報酬。第二、指數股票型基金發行者前一年的表現與指數股票型基金的發行有顯著正相關。當指數股票型基金的發行者有卓越的表現下,該發行者越有可能發行新的指數股票型基金。
This study examines the determinants of Exchange Traded Fund (ETF) starts, using 367 ETFs that are opened during the period 1993 to 2006. Several data sets are utilized in this study, including Center for Research in Security Prices (CRSP), CRSP Survivor-Bias-Free US Mutual Fund Database, and Morningstar/Ibbotson Associate database. There are several findings. First, on average, ETF sponsors have the timing ability to open an ETF, suggesting that an investor can buy an ETF once it is opened and hold it until one-to-three years in order to earn a positive abnormal return. Second, the prior one-year return performance of an ETF sponsor is positively related to the likelihood of an ETF opening, a result consistent with the “brand name” hypothesis that when an existing ETF of a sponsor performs well, the sponsor is more likely to start a new ETF in order to capitalize its brand name.
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