The interplay between investors' demand and providers' incentives has shaped the
evolution of exchange-traded funds (ETFs). While early ETFs invested in broad-based …

Dynamic mean-variance (MV) optimal strategies are inherently contrarian. Following periods
of strong equity returns, there is a tendency to de-risk the portfolio by shifting into risk-free …

I document a hidden but substantial cost associated with the liquidity transformation that
corporate bond exchange-traded funds (ETFs) provide. When creating new shares …

This study is unique in examining the spillover and leverage effect of Smart Beta Exchange
Traded Funds (SB ETFs) and their underlying indices and Cap-Weighted (CW) indices. We …

This paper investigates the economic incentives underlying the choice of bonds in corporate
bond exchange-traded funds (ETFs) redemptions. In the primary market between ETF …

In the United States, exchange-traded funds can defer capital gains taxes of their investors
by taking advantage of a legal loophole. To quantify the impact of this tax loophole on …

This paper challenges the conventional wisdom that exchange-traded funds (ETFs) are
more liquid than open-end mutual funds. I build a model and establish that same-index ETFs …

We document the recent rise in the side‐by‐side (SBS) management of mutual funds and
actively managed ETFs (AMETFs). Although these funds are run in a SBS manner, only 21 …

This study investigates the impact of dividend taxes on equity mutual fund investments,
using the 2018 German Investment Tax Reform as a unique case study. This reform …

Smart beta ETFs have gained tremendous prevalence among investors in recent years. This
study provides empirical evidence that a proportion of this fast-paced growth can be …