We provide the first in-depth examination of exchange-traded funds (ETFs) within actively managed mutual fund (AMMF) portfolios to better understand why AMMFs make substantial investments in passive ETFs. We examine the association between holding ETF positions and AMMF performance, as well as...

ETFs attract a larger proportion of institutional investors than do the underlying markets. The price of an ETF will deviate from the price of the underlying, if institutional investors are less prone to investor sentiment-driven mispricing, than are retail investors. We employ a unique...

This study shows how the investor sentiment in the stock market affects prices of commodity exchange-traded funds (ETFs). The study provides quantitative evidence that the tracking errors of commodity ETFs differ in the bullish versus the bearish stock market, and the aggregate tracking error of...

The objective of this paper is to provide an in-depth explanation of the unique structure of ETFs and examine the question of where investors access liquidity in ETFs. We discuss how ETFs are created and by whom and how ETFs trade. We provide detailed explanations of the regulatory framework for...

This paper examines the causes and consequences of hedge fund investments in exchange traded funds (ETFs) using U.S. data from 1998 to 2018. The data indicate that transient hedge funds and quasi-indexer hedge funds are substantially more likely to invest in ETFs. Unexpected hedge fund inflows...

The exchange-traded fund (ETF) market has become the most important development of the financial markets over the last decade. I show that the network of the ETF market — the linkages between ETFs based on portfolio weights — catalyzes the propagation of price dislocations, the gaps between...

This paper examines the causes and consequences of hedge fund investments in exchange traded funds (ETFs) using U.S. data from 1998 to 2018. The data indicate that transient hedge funds and quasi-indexer hedge funds are substantially more likely to invest in ETFs. Unexpected hedge fund inflows...

Purpose Passive investing has established itself as the dominant force in the world of professionally managed assets, surpassing the concept of index funds. Its meteoric rise is fueled by investors' preference for its dual benefits of strong diversification and low cost. A comprehensive study of...

This paper unveils the processes for building a country's trading strategy that can outperform the MSCI Indexes and on the factor basis. By exploring the belief and experimenting with the structure in place, there seems to be enough room to build a quantitative investment strategy that generates...

I present empirical results on the first active exchange traded funds (ETFs) based on risk, return and incentives. Using models for both the returns and the volatility of the underlying assets, I compare the performance of the suggested models with the alternative investment solutions such as...