Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/240200 
Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
Deutsche Bundesbank Discussion Paper No. 28/2021
Verlag: 
Deutsche Bundesbank, Frankfurt a. M.
Zusammenfassung: 
For the DAX index market, this paper analyses the development of return differences between exchange traded funds (ETFs) and the DAX index from the perspective of long-term investors. The newly introduced methodology provides the opportunity to continuously identify long-term costs of passively managed products independent from the information of annual financial statements. This enables to test for product-specific return differences and to identify relevant cost drivers such as index returns and market makers. Results reveal that on average, DAX ETFs costs considerably exceed total expense ratios. Product-specific return differences are significant, however, differences tend to converge over time. For all ETFs, deviations are significantly influenced by index returns. Product characteristics deliver valuable arguments to explain these findings. Also market makers significantly contribute to return differences.
Schlagwörter: 
Exchange Traded Funds
Net Asset Value
market maker prices
return differences
Total Expense Ratio
ETF issuers
rolling window
JEL: 
G12
G13
G14
ISBN: 
978-3-95729-836-2
Dokumentart: 
Working Paper
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