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 …

allocation is neutral at best. This is consistent with the hypothesis that static factor exposure rather systematic rule …

-weighted, long-short strategy based on ETF momentum delivers Carhart (1997) four-factor alphas of up to 1.20% per month. Neither … cross-sectional stock momentum nor co-variation with macroeconomic and liquidity risks can explain ETF momentum. Instead …, the post-holding period returns are most consonant with the behavioral story of delayed overreaction. While ETF momentum …

This study shows that exchange-traded fund (ETF) misvaluation — based on return differentials between ETFs and their … primarily from the ETF, rather than the NAV price. Excess comovements are greater for funds with high commonality in demand …