Que implica? Un buen futuro para la gestion activa... Los ETFs son una gran fuente de ineficiencias, se compra todo lo del ETF o se vende todo! Seguramente en la proxima decada los gestores values buenos, superen el Buy&Hold.
Y tengamos oportunidades para arbitrar las acciones que se encuentran en ETFs voluminosos...
Hay estudios que dicen que un 1% de una empresa en un ETF implica que un camnio en beneficios implica un 12% menos de impacto en su cotizacion, lo cual es una ineficiencia importante.
Market Efficiency Increases: ETFs, or “composite securities,” should improve overall price efficiency, and the impact is bigger for relatively illiquid assets. However, the authors do make the point that firm-specific news might actually get incorporated into prices more slowly. Ironically, as algo-driven ETFs displace “stock-pickers,” stock-pickers might find that their nuanced information collection abilities could become more valuable.
Volatility and Correlations Increases: ETFs could increase asset volatility and correlations across baskets that have similar systematic factor exposures. On one hand, this is to be expected if systematic factor exposures are being priced more accurately. On the other hand, portfolio diversification assumptions of the past may not hold into the future, if the diversification benefits across composite portfolios increases.
Mixed Liquidity and Price Impact Effects: The authors find that transaction costs and impact costs might increase for illiquid securities. However, the authors find that overall costs to trade securities driven by systematic factors may decrease when traded via composite securities such as ETFs.
On the other hand, ETFs crowd out liquidity from the securities to the ETF. This means that investors who use to trade the underlying securities directly in the past, prefer now to trade the ETF – it is cheaper and easier. This means that we lose liquidity at the stock level. One implication of this is that stock returns become less informative about companies’ financial prospects.
Our main result is that ownership by ETFs cause prices of the underlying stocks to be noisier. This is a causal claim, i.e., the ownership by ETFs increases the volatility of the underlying stocks. We know that this volatility is noise since sharp changes in flows at the ETF level causes price changes in underlying stocks, which tend to reverse after a few days.