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 …

We examine whether an increase in ETF ownership is accompanied by a decline in pricing
efficiency for the underlying component securities. Our tests show an increase in ETF …

This paper investigates the effect of exchange-traded funds'(ETFs') activity on the short-run
informational efficiency of their underlying securities. We find that ETF activity increases …

Exchange traded funds (ETFs) have a novel design that allows them to “open up” illiquid
markets hitherto resistant to index products. We demonstrate that such ETFs also have the …

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 investigate the new reality of exchange-traded funds (ETFs). We show that most ETFs
are active investments in form (designed to generate alpha) or function (serve as building …

We model asset management as a continuum between active and passive: managers can
deviate from benchmark indices to exploit noise trader–induced distortions, but agency …

We develop a benchmark model to study the equilibrium consequences of indexing in a
standard rational expectations setting. Individuals incur costs to participate in financial …

We empirically examine the effects of index investing using predictions derived from a
Grossman-Stiglitz framework. An exogenous increase in index investing leads to lower …