benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate … across assets. Fluctuations in asset managers' capital invested for benchmarking purposes, scaled by the size of the economy … these benchmarking-induced spillovers by analyzing shock elasticities and cross-elasticities of price-dividend ratios, and …

I investigate the relation between exchange-traded fund (ETF) flows and their underlying securities' returns using a … price reversal patterns in ETF flow-return relation in panel and aggregate settings, suggesting an economically significant … institutional trades to the novel ETF framework and highlight differences in the market roles of mutual funds and ETFs …

, providing further proof of short-term mean-reversion in ETF prices …

portfolio imbalances while facilitating ETF arbitrage. Basket inclusion improves bond liquidity, except in periods of large … imbalance between ETF creations and redemptions, such as the COVID-19 crisis of 2020 …

participant (AP) holds bond inventory and connects the ETF to the underlying bond market. For redemptions, the AP acts as a buffer …. For creations, the AP behaves asymmetrically, and transmits ETF purchases to the bond market to boost inventory mark …-to-market values. The AP’s costs of handling creations/redemptions are paid by liquidity-demanding ETF investors via premiums …