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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 … effects with the Fed announcement of the Bond ETF purchase in March 2020. The findings suggest that arbitragers create …
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We present a general equilibrium model in which heterogeneous investors choose among bonds, stocks, and an Index Fund holding the market portfolio. We show that, under standard assumptions, an equilibrium exists. We then derive predictions for equilibrium asset prices, investor behavior, and...
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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...
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holding ETF positions and AMMF performance, as well as indirect measures of performance, including market timing, flow … management, and cash holdings. We find that over one-third of AMMFs take an ETF position between 2004 and 2015. Our results … hold ETFs in small amounts have similar characteristics to non-user AMMFs. Therefore, the act of holding an ETF does not …
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likely to invest in ETFs. Unexpected hedge fund inflows [outflows] cause a rise [reduction] in ETF investments, and the … hedge fund flows are statistically unrelated to ETF investments on average. When ETF investment is accompanied by an … increase in unexpected flow, hedge fund alphas are higher. When ETF investment is accompanied by an increase in expected flow …
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