What is the market impact of predictable order flow? Leveraged exchange-traded products are useful for answering this question because they generate daily rebalancing flows whose size, sign and timing are predictable. This paper presents new evidence from the market for leveraged volatility products. While the daily rebalancing imposes an implicit cost on investors by putting pressure on closing prices, there is no evidence that the cost is driven by predatory trading. On the contrary, I show that larger and more predictable flows have smaller price impact coefficients, and that there are no excess profits from trading ahead of rebalancing flows during the sample period.

可预测的订单流对市场有何影响？杠杆交易所交易产品对于回答这个问题很有用，因为它们每天都会产生规模、符号和时间可预测的再平衡流量。本文提供了杠杆波动率产品市场的新证据。虽然每日再平衡通过对收盘价施加压力而给投资者带来隐性成本，但没有证据表明该成本是由掠夺性交易驱动的。相反，我表明更大和更可预测的流量具有更小的价格影响系数，并且在样本期间重新平衡流量之前没有交易的超额利润。