Non-fundamental demand shocks have significant effects on asset prices, but observing these shocks is challenging. We use the exchange-traded fund (ETF) primary market to study non-fundamental demand. Unique to the ETF market, specialized arbitrageurs called authorized participants correct violations of the law of one price between an ETF and its underlying assets by creating or redeeming ETF shares. We show theoretically and empirically that creation and redemption activities (ETF flows) provide signals of non-fundamental demand shocks. A portfolio that is short high-flow ETFs and long low-flow ETFs earns excess returns of 1.1–2.0% per month, consistent with non-fundamental demand distorting asset prices away from fundamental values. Moreover, we show non-fundamental demand imposes non-trivial costs on investors, leading to underperformance.

中文翻译：

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ETF套利、非基本需求和回报可预测性^*

非基本面需求冲击对资产价格有显着影响，但观察这些冲击具有挑战性。我们使用交易所交易基金 (ETF) 一级市场来研究非基本需求。ETF 市场的独特之处在于，被称为授权参与者的专业套利者通过创建或赎回 ETF 份额来纠正违反 ETF 及其相关资产之间单一价格定律的行为。我们从理论上和经验上表明，创造和赎回活动（ETF 流动）提供了非基本需求冲击的信号。短期高流量 ETF 和长期低流量 ETF 的投资组合每月可获得 1.1-2.0% 的超额回报，这与扭曲资产价格偏离基本价值的非基本需求相一致。此外，我们表明非基本需求给投资者带来了不小的成本，导致表现不佳。