Given the exponential growth in ETF trading over the past decade, we consider the proposition that trading in ETFs transmits volatility to their largest component stocks and thus to the stock market in general. We find empirical support for this proposition, since volatility spillovers from ETFs...

We find that passive intensity (PI), measured by the passive-linked share of total stock market trading volume, is strongly related to the overall pattern of stock price movements. A one-standard deviation increase in PI is associated with 8 percent higher price synchronicity. We further...

Momentum in individual stock returns emanates from momentum in factor returns. Most factors are positively autocorrelated: the average factor earns a monthly return of 1 basis point following a year of losses and 53 basis points following a positive year. Factor momentum explains all forms of...

Corporate loans increasingly have become an important part of portfolio management with the advent of a liquid and transparent secondary market. This paper examines the pricing of characteristics and betas in the cross-section of expected loan returns. Expected loan returns decrease with default...

This note describes in detail the methodology to calculate returns in the secondary corporate loan market. It is provided as a supplementary note to "The cross-section of expected returns in the secondary corporate loan market."

Momentum in individual stock returns emanates from momentum in factor returns. Most factors are positively autocorrelated: the average factor earns a monthly return of 6 basis points following a year of losses and 51 basis points following a positive year. We find that factor momentum...