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 …

Hedging short gamma exposure requires trading in the direction of price movements,
thereby creating price momentum. Using intraday returns on over 60 futures on equities …

1 It must be noted that not all jurisdictions allow closed-end funds to be traded in secondary
markets. 2 The passive nature of ETFs in that they constitute investments in fixed-income …

Closing auctions set daily closing prices for US stocks and account for a striking 7.5% of
daily volume in 2018, up from 3.1% in 2010. We study closing auctions in the new regime of …

I investigate the relation between exchange-traded fund (ETF) flows and their underlying
securities' returns using a unique fund-level database covering US equity ETFs, adjusted for …

This paper proposes that computational complexity generates noise. The same asset is
often held for completely different reasons by many funds following a wide variety of …

I exploit the leveraged exchange-traded funds'(ETFs') primary market to measure aggregate,
uninformed, gambling-like demand, that is, speculation sentiment. The leveraged ETFs' …

Features trading strategies for a variety of asset classes and trading styles including stocks,
options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles …

Recent empirical studies argue that passive funds tend to propagate liquidity shocks to the
underlying securities, thus increasing stock volatility. We document that the growing …

We document the increasing role leveraged exchange traded funds (ETFs) play in
institutional portfolios over time. A subset of independent investment advisors, quasi …