The market for passive ETFs and passive ETF benchmarks has exploded in the past decade. ETF sponsors get index benchmarks from brand name index providers (e.g., S&P, Russell, MSCI), a large number of smaller providers, or internally. We find that benchmark and index provider characteristics are...

Empirical tests are reported for Ross' arbitrage pricing theory using monthly data for U.S. Treasury securities during the 1960-1979 period. We find that mean returns on bond portfolios are linearly related to at least two factor loadings. Multivariate test results, however, are not consistent...

This article provides an overview of the empirical evidence on the magnitude and determinants of equity trading costs. The focus is primarily on the trades of institutional investors.

When several investors with different risk aversions trade competitively in a capital market, the allocation of wealth fluctuates randomly between them and acts as a state variable against which each market participant will want to hedge. This hedging motive complicates the investors’...

This paper examined the information content of financial columns. Since the stock market is informationally efficient, no investor can extract excess returns by blindly following the advice of financial column. However, the labor market for financial columnist is competitive, a surviving...