The Unexpected Activeness of Passive Investors: A Worldwide Analysis of ETFs
Publication in refereed journal


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AbstractThe global ETF industry provides more complicated investment vehicles than low-cost index trackers. Instead, we find that the real investments of ETFs may deviate from their benchmarks to leverage informational advantages (which leads to a surprising stock-selection ability) and to help affiliated OEFs through cross-trading. These effects are more prevalent in ETFs domiciled in Europe. Moreover, ETF flows seem to respond to additional risk. These results have important normative implications for consumer protection and financial stability.
Acceptance Date14/10/2018
All Author(s) ListSi Cheng, Massimo Massa, Hong Zhang
Journal nameReview of Asset Pricing Studies
Year2019
Month12
Volume Number9
Issue Number2
PublisherOxford University Press
Pages296 - 355
ISSN2045-9920
eISSN2045-9939
LanguagesEnglish-United States

Last updated on 2021-02-05 at 02:16