What Drives ETF Flows?

The value of exchange traded fund (ETF) assets has increased from $66 billion in 2000 to almost a trillion dollars in 2010. We use this massive expansion in ETF assets to study what drives ETF flows. Using a data set of over 500 ETFs from 2001 to 2010, we show that ETF investors chase returns in the same way as mutual fund investors. While there is an active debate about whether return chasing by mutual fund investors represents the pursuit of superior talent, the existence of return chasing in this passively managed environment should not represent a search for skilled managers. We also show that ETF flows increase following high volume, small spreads, and high price/net asset value ratios. Finally, we find little evidence of superior market timing in ETF flows. Our results suggest that return chasing in both mutual funds and ETFs is more likely the result of naïve extrapolation bias on the part of investors that has contributed to the growth of the ETF industry.     

What factors influence auditors' use of computer-assisted audit techniques?

To meet the challenges of rapid advances in client technology, audit standards urge auditors to use computer-assisted audit tools and techniques (CAATs). However, recent research suggests that CAAT use is fairly low. This paper uses the Unified Theory of Acceptance and Use of Technology (UTAUT) to identify and then examines factors potentially influencing auditors' use or non-use of CAATs. Examining auditor use of CAATs is important because CAATs hold out the promise of improving audit efficiency and effectiveness. Data was obtained from 181 auditors from Big 4, national, regional, and local firms. Results indicate that outcome expectations, the extent of organizational pressures and technical infrastructure support influence the likelihood that auditors will use CAATs.     

A Common Nomenclature for Stated Preference Elicitation Approaches

It is often difficult to determine what actually was done in work involving data collected with stated preference surveys because the terms used to describe various procedures have ambiguous and sometimes conflicting meanings. Further, terms used to describe data collection procedures often are confounded with terms used to describe statistical techniques. We call for the use of a common nomenclature to describe what was done in a data collection effort for stated preference studies, and take a first step at setting out such nomenclature. We only seek to improve clarity in the communication of research results and take no position here on appropriateness of particular procedures.     

Context Effects in a Negatively Framed Social Dilemma Experiment

A number of studies of the positively-framed voluntary contribution mechanism (VCM) public goods game have examined the role of context on participant behavior. Relatively little attention, however, has been given to the effects of context in negatively-framed VCM games even though this setting is relevant to a wide array of real world challenges, such as common pool resource use and pollution externalities. This study uses a carefully-controlled laboratory experiment to investigate the degree to which the context in which decisions are made influences decision making in a negatively-framed VCM laboratory experiment. The context treatments that we evaluate vary communication, voting, and the status quo of the initial endowment. Results indicate that providing groups the opportunity to communicate and vote significantly reduces choices that impose external costs. Importantly, the pro-social effects of communication and voting are strongest when the status quo endowment is the private account, which generates costs on other participants. This result suggests that the effect of the status quo endowment is a function of whether the social dilemma is framed positively or negatively when communication between participants is allowed.     

The Content of Internet Advertisements and its Impact on Awareness and Selling Performance

ABSTRACT

This paper investigates the different relationships consumers build with anthropomorphised devices and how these relationships affect actual and intended future usage. An exploratory, three-week empirical study of 39 informants using voice controls on their smartphone uncovered a diversity of relationships that the informants built with such devices. We complement anthropomorphism theory by drawing on extended-self theorising to identify three primary roles that emerge from consumers’ interactions with these devices. Our findings theorise the distinct ways in which consumers perceive the object agency of anthropomorphised smart devices and how these perceptions impact the consumers’ engagement and future use intentions.     

The Role of Physically Active Leisure for Enhancing Quality of Life

Drawing upon bottom-up theory of life satisfaction, this study develops and tests a model that links physically active leisure to people's quality of life. Results from a sample of 827 running event participants revealed that satisfaction with event participation and psychological involvement in running were significant predictors of participants’ life domain satisfaction and overall life satisfaction, both of which are common subjective indicators of quality of life. Conversely, behavioral involvement in running was a non-significant predictor of life domain satisfaction and overall life satisfaction. These findings suggest that physically active leisure may enhance participants’ quality of life by providing positive experiences through event participation and contributing to psychological involvement in physical activity.     

Admissible market data structures: A complete characterization

This paper characterizes the market data which, if observed by traders in a stochastic exchange environment, will permit the general existence of (rational) expectations equilibria. It is proved that if a trader observes and conditions his expectations on some nonconstant market data, he must observe at least the equilibrium price and his own equilibrium trade. Any data which do not satisfy this requirement, such as the price alone, or the price and the volume of trade, will fail to permit the existence of an expectations equilibrium for some otherwise well-behaved stochastic environment.     

Penny Stock IPOs

We examine underpricing, long-run returns, lockup periods, and gross spreads for penny stock IPOs over the 1990–1998 period. We find that penny stock IPOs have higher initial returns than ordinary IPOs, but significantly worse long-run underperformance. We also find that penny stock IPOs have longer lockup periods and larger gross spreads. To explore the effect of potential market manipulation, we examine IPOs led by a group of underwriters that were the subject of SEC enforcement actions and/or other penalties. Penny stock issues led by these banks are particularly underpriced and underperform ordinary IPOs led by other underwriters.     

Product standards, innovation and regulation

This paper examines the public policy, issues associated with product standardization. It addresses three main questions: (1) Do laissez faire markets provide an appropriate level ofcompatibility and standardization? (2) Does standardization result in anti-competitive behaviour? (3) Does standardization promote or retard innovation? The theoretical debate surrounding each of these issues is briefly reviewed. The process of setting standards with respects to high definition telivision technology is examined and used to illustrate the problems facing regulators. The paper concludes that, in the case of high definition television, the US market-based approach to standard setting has been more successful than has the more directly interventionist approaches adopted in Europe and Japan.     

Market-Oriented Macro-Economic Policy

Command-directed economies are discredited, but governments of countries moving towards markets should eschew pro-active macro-economic policies. Deregulation, privatisation and fax reform will help restore and enhance the wealth-creating capability of markets.