(ETFs). While early ETFs offered diversification at low cost, later ETFs track niche portfolios and charge high fees …. Strikingly, over their first five years, specialized ETFs lose about 30% in risk-adjusted terms. This underperformance cannot be … appear to cater to investors' extrapolative beliefs by issuing specialized ETFs that track attention-grabbing themes …

based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …

occur in what we term “panic” states – following market declines and when market volatility is high, and are contemporaneous … momentum strategy. Further, we show that momentum returns in panic states are correlated with, but not explained by, volatility …

;excessivequot; stock price volatility and quot;sentimentquot; fluctuations. We construct a general equilibrium model of sentiment. In it … that rational investors can do optimally to exploit, and hence, eliminate excessive volatility, except in the very long run.quot …