We investigate the short-term price impact of asset fire sales by corporate bond exchange-traded funds (ETFs) during the COVID-19 crisis, based on daily ETF holdings and flows data. We document that ETFs’ fire sales generate significantly greater price impact on their underlying corporate...

This study compares the risk-adjusted return of conventional- and ESG- ETFs during the Russia-Ukraine war. In the period following the breakout of the war, ESG ETFs have underperformed conventional ETFs in the US and other developed markets. However, both ETFs perform similarly in the...

Unlike individual stocks, more than 67% of sector ETFs have lifetime buy-and-hold returns that are higher than the T-bill rates. Thus, the majority of sector ETFs outperform T-bills. However, less than 26% of sector ETFs have lifetime buy-and-hold returns that are higher than SPY, an index ETF...

Using the unique dataset on web analytics and exploiting institutional features of search engine technology, I study the relationship between an ETF’s visibility on the Internet and its fund flows. I consider three channels of online visibility: Organic or “free” search, paid search, and...

We study the impact of sustainability on the financial performance of exchange-traded funds (ETFs) in the period of COVID-19. Using a sample of 244 Australian ETFs rated by Morningstar in April 2020, we conducted the portfolio analysis and cross-sectional regression analysis, and the results...

Does high-frequency trade increase or decrease volatility in financial markets during crises? We introduce a novel intraday volatility measure for ETFs, and find that during the COVID-19 crisis period, the withdrawal of high-frequency trade from large stock ETFs increases intraday ETF volatility...