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ETF Rebalancing, Hedge Fund Trades, and Capital Market
Wang, George Jiaguo; Yao, Chelsea Yaqiong; Yelekenova, Adina - 2023
We study the interaction between ETF rebalancing and hedge fund “front-running” trades and its implications for the … capital market. First, we document that ETF rebalancing has a strong negative relation with future stock returns. Second, we … observe that hedge funds gradually increase (decrease) their net arbitrage positions before ETF rebalancing. Strikingly, the …
Persistent link: https://www.econbiz.de/10014258333
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The Implications of Passive Investing for Securities Markets
Sushko, Vladyslav - 2018
funds exhibited persistent outflows in recent stress periods, whereas passive mutual fund flows were fairly stable. ETF …
Persistent link: https://www.econbiz.de/10012925144
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Why do index funds have market power? : quantifying frictions in the index fund market
Brown, Zach Y.; Egan, Mark L.; Jeon, Jihye; Jin, Chuqing; … - 2023
Persistent link: https://www.econbiz.de/10014467885
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Competition for attention in the ETF space
Ben-David, Itzhak; Franzoni, Francesco; Kim, Byungwook; … - 2021
The interplay between investors' demand and providers' incentives has shaped the evolution of exchange-traded funds (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...
Persistent link: https://www.econbiz.de/10012421474
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Market Timing Ability and Mutual Funds : A Heterogeneous Agent Approach
Frijns, Bart - 2014
This paper proposes a novel approach to determine whether mutual funds time the market. The proposed approach builds on a heterogeneous agent model, where investors switch between cash and stocks depending on a certain switching rule. This represents a more flexible, intuitive, and parsimonious...
Persistent link: https://www.econbiz.de/10013067033
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Fiduciary Finance : Investment Funds and the Crisis in Financial Markets
Gold, Martin - 2012
This multi-faceted analysis of institutional investment defines fiduciary finance institutions as the third pillar of the financial system, alongside banks and insurers. It documents the role played by investment funds and the money management industry during the recent financial crisis, and...
Persistent link: https://www.econbiz.de/10013115823
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Investor heterogeneity and large-scale asset purchases
Breckenfelder, Johannes; De Falco, Veronica - 2024
Large-Scale Asset Purchases can impact the price of securities directly, when securities are targeted by the central bank, or indirectly through portfolio re-balancing of private investors. We quantify both the direct and the portfolio re-balancing impact, emphasizing the role of investor...
Persistent link: https://www.econbiz.de/10014528264
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Fund flows inducing mispricing of risk in competitive financial markets
Stahmer, Axel - 2015
This paper studies the effect of new fund flows on investment behavior and the resulting equilibrium price of risk. The Small Fund Industry model shows equilibria with overinvestment in unprofitable and underinvestment in profitable investment opportunities. The Large Fund Industry model derives...
Persistent link: https://www.econbiz.de/10011389297
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Market transparency and the marking precision of bond mutual fund managers
Cici, Gjergji; Gibson, Scott; Gündüz, Yalın; … - 2014
We analyze the dispersion of month-end price marks simultaneously placed on identical corporate bonds by different US mutual fund managers before and after initiations of TRACE and introductions of issuers into Markit’s CDS database. Disseminated bonds show large and statistically significant...
Persistent link: https://www.econbiz.de/10010373710
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Market Transparency and the Marking Precision of Bond Mutual Fund Managers
Cici, Gjergji - 2013
We analyze the dispersion of month-end prices simultaneously placed on identical corporate bonds by different US mutual fund managers before and after initiations of TRACE and introductions of issuers into Markit's CDS database. Disseminated bonds show large and statistically significant...
Persistent link: https://www.econbiz.de/10013074305