likely to invest in ETFs. Unexpected hedge fund inflows cause a rise in ETF investments, and the economic significance of … unexpected flow is more than twice as large for transient than quasi-indexer hedge funds. ETF investment is in general associated … with lower hedge fund performance. But when ETF investment is accompanied by an increase in total flow and unexpected flow …

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 …

We examine the impact of ETF ownership on the commonality in liquidity of underlying stocks, while controlling for … other institutional ownership. Analyses using aggregate stock-level ETF ownership and common ETF ownership at the stock …-pair level indicate that ETF ownership significantly increases commonality. We show that greater arbitrage activities are …

also identify a new dimension of activeness: the use of an index that is explicitly proprietary to the index fund or ETF …

provide detailed explanations of the regulatory framework for ETFs and the clearing and settlement process by which ETF shares … are created and redeemed in the U.S. Do investors primarily use the ETF creation/redemption mechanism or do they trade … existing ETF shares with another investor on the secondary market? In the first case, creations and redemptions generate …

ETFs attract a larger proportion of institutional investors than do the underlying markets. The price of an ETF will … results in weaker returns in the following 3- to 6-month period. Long-term arbitrageurs who go long the ETF, and short the …