Over nearly a quarter of a century, exchange-traded funds (ETFs) have become one of the
most popular passive investment vehicles among retail and professional investors because …

Due to their low trading costs, exchange‐traded funds (ETFs) are a potential catalyst for
short‐horizon liquidity traders. The liquidity shocks can propagate to the underlying …

We empirically examine the impact of industry exchange-traded funds (IETFs) on informed
trading and market efficiency. We find that IETF short interest spikes simultaneously with …

A natural liquidity mismatch emerges when liquid exchange traded funds (ETFs) hold
relatively illiquid assets. We provide a theory and empirical evidence showing that this …

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 …

Non-fundamental demand shocks have significant effects on asset prices, but observing
these shocks is challenging. We use the exchange-traded fund (ETF) primary market to …

Performance chasing is pervasive in modern investment vehicles–active mutual funds, index
mutual funds, and exchange traded funds (ETFs). Within all vehicles, the flow-performance …

We investigate the effect of exchange-traded fund (ETF) liquidity on ETF tracking errors,
returns, and volatility in the US. We find that illiquid ETFs have large tracking errors. The …

Prior research suggests that nonfundamental exchange-traded fund (ETF) price shocks are
transmitted to their portfolios through an arbitrage mechanism. We test this proposition by …

The immense growth of ETFs is often attributed to their intraday liquidity and low expenses,
which are favored by short-term investors. This paper argues that lesser known, yet …