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

香港中文大學研究人員

引用次數
替代計量分析
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其它資訊
摘要The 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.
出版社接受日期14.10.2018
著者Si Cheng, Massimo Massa, Hong Zhang
期刊名稱Review of Asset Pricing Studies
出版年份2019
月份12
卷號9
期次2
出版社Oxford University Press
頁次296 - 355
國際標準期刊號2045-9920
電子國際標準期刊號2045-9939
語言美式英語

上次更新時間 2021-23-01 於 03:01