Exchange-Traded Fund Flows and Valuation

• 成果类型: Article; Early Access
• 署名作者: Zou, Yuan
• 署名单位: Harvard University
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826; 1558-7967
• DOI: 10.2308/TAR-2023-0303
• 发表日期: 2026-09
• 关键词: Exchange-traded funds (ETFs); Passive investing; flow-induced trading; nonfundamental demand; valuation; FINANCIAL STATEMENT ANALYSIS; demand curves; cross-section; short-term; price; MARKET; returns; stocks; volume; RISK

摘要

The past two decades have witnessed dramatic growth in passive investing via exchange-traded funds (ETFs). To the extent that ETF flows reflect nonfundamental investor demand, large ETF flows may push the prices of the underlying stocks away from their fundamental values. Consistent with this conjecture, I first find that ETF flows chase past fund performance, suggesting that ETF flows contain a systematic nonfundamental demand component. I then document that ETF flow-induced trading is associated with contemporaneous stock price increases, followed by return reversals. Accounting-based valuation tests show that ETF flow-induced trading is negatively associated with value-to-price (V/P) ratios, consistent with overvaluation. The effect strengthens for specialized ETFs and stocks with high short-selling constraints. Finally, firms with high ETF flow-induced trading behave in ways typically associated with perceived overvaluation.