Active ETFs are less liquid than their underlying portfolios. This finding, which contrasts with that for passive ETFs, is attributed to uncertainty of future holdings of active ETFs. In addition, while diversification generally reduces firm-specific information asymmetry and improves portfolio...

A substantial amount is incurred in ETF transaction costs each year. This paper examines the performance of a vector autoregressive (VAR) model and other naïve models to time trades in 1,350 ETFs over the 2011 to 2017 period. We find varied spread savings for large and retail ETF traders by...

Air pollution is one of the greatest environmental risks and affects various aspects of life. Motivated by the increasing roles of mutual funds in financial markets in recent decades, this study examines the impact of ambient pollution on mutual fund risk in China where pollution is among the...