European index funds and exchange-traded funds underperform their benchmarks by 50 to 150 basis points per annum. The explanatory power of dividend withholding taxes as a determinant of this underperformance is at least at par with fund expenses. Dividend taxes also explain performance...

European index funds and exchange-traded funds underperform their benchmarks by 50 to 150 basis points per annum. The explanatory power of dividend withholding taxes as a determinant of this underperformance is at least at par with fund expenses. Dividend taxes also explain performance...

The “Financial Big Bang” reforms during the latter half of the 1990s substantially transformed the Japanese financial system, but despite this, the level of risky assets that Japanese households have in their portfolio has not increased. One reason for this is the lack of knowledge necessary...

Leveraged ETFs provide a convenient mechanism to dynamically change portfolio exposure and can be successfully used to construct robust portfolios that perform well during equity market drops. We start with a classical 60 percent Bonds/ 40 percent Stocks portfolio with monthly rebalancing that...

Research on certain types of institutional order flow has highlighted potential destabilizing effects on market quality related to the fact that these orders can be anticipated by other market participants. Examples include the rebalancing of rules-based indexes and ETFs, including end-of-day...

This paper reconsiders the process of price discovery in spot and futures markets. In our study, we examine the contribution of two derivative products of the German blue chip index DAX: Exchange traded funds and index futures. In order to eliminate noise caused by differences in the...

The purpose of this study is to examine the tracking ability of physical (in-kind) and synthetic (swap-based) Exchange Traded Funds (ETFs). By using three different measures of tracking error, I examine ten pairs of ETFs, which on aggregate track different asset classes (equities, bonds,...

Leveraged ETFs provide a convenient mechanism to dynamically change portfolio exposure. A classical portfolio insurance strategy of Black-Jones-Perold can be easily implemented with leveraged ETFs. More complex dynamic portfolio strategies that also can be implemented using leveraged ETFs. We...

We overview exchange-traded funds and notes mechanism and market. We consider different classes of ETFs: long, short, unleveraged, leveraged. We show tables and graphs of leveraged and short ETF behaviors for up and down moves for educational purposes. We describe historical behavior of several...

I find that market accessibility ex ante plays an important role in how the underlying assets' liquidity changes when a basket security is introduced. First, using a multi-market version of the Kyle model, I show that the less (more) accessible the underlying market is, the more its liquidity...