Competition for Attention in the ETF Space
The interplay between investors' demand and providers' incentives has shaped the
evolution of exchange-traded funds (ETFs). While early ETFs invested in broad-based …
evolution of exchange-traded funds (ETFs). While early ETFs invested in broad-based …
Man vs. machine: Quantitative and discretionary equity management
S Abis - … and Discretionary Equity Management (October 23 …, 2020 - papers.ssrn.com
I use machine learning to categorize US active equity mutual funds as quantitative (reliant
on computer models and fixed-rules) or discretionary (reliant on human judgment). I then …
on computer models and fixed-rules) or discretionary (reliant on human judgment). I then …
[PDF][PDF] Steering a ship in illiquid waters: Active management of passive funds
Exchange-traded funds (ETFs) are among the most important financial intermediaries. Their
assets under management have grown quickly since their first appearance in 1993 …
assets under management have grown quickly since their first appearance in 1993 …
Learning from prospectuses
We analyze fund managers' incentives to disclose qualitative information about their
strategies, and investors' ability to learn from these disclosures. We propose a mechanism …
strategies, and investors' ability to learn from these disclosures. We propose a mechanism …
[HTML][HTML] Index providers: Whales behind the scenes of etfs
Most ETFs replicate indexes licensed by index providers. We show that index providers
wield strong market power and charge large markups to ETFs that are passed on to …
wield strong market power and charge large markups to ETFs that are passed on to …
[HTML][HTML] Complements or substitutes? The effect of ETFs on other managed funds
We examine the complementary and substitute effects of exchange-traded funds (ETFs) and
two other investment vehicles: mutual funds (MFs) and closed-end funds (CEFs). Focusing …
two other investment vehicles: mutual funds (MFs) and closed-end funds (CEFs). Focusing …
The Rise of Factor Investing:" Passive" Security Design and Market Implications
We model financial innovations such as Exchange-Traded Funds, smart beta products, and
many index-based vehicles as composite securities (CSs) that facilitate trading the common …
many index-based vehicles as composite securities (CSs) that facilitate trading the common …
[HTML][HTML] Broken promises, competition, and capital allocation in the mutual fund industry
What characteristics of mutual funds do investors care about? In addition to performance
and fees, we show that investors exhibit a clear preference for managers who adhere to the …
and fees, we show that investors exhibit a clear preference for managers who adhere to the …
Dominated ETFs
DC Brown, S Cederburg, M Towner - forthcoming at Critical …, 2024 - papers.ssrn.com
Within the growing market for exchange-traded funds (ETFs), we identify many dominated
ETFs with returns that are highly correlated with those of cheaper, more liquid competitors …
ETFs with returns that are highly correlated with those of cheaper, more liquid competitors …