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 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 examine the impact of ETF ownership on the commonality in liquidity of underlying
stocks, while controlling for other institutional ownership. Analyses using aggregate stock …

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 …

We identify an alternative source of ETF shorting related to the market maker liquidity
provision and creation/redemption activities. Unlike “directional shorting” used 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 …

Studying 70 Chinese equity exchange‐traded funds (ETF s), we show that daily ETF flows
significantly increase both the total volatility and the fundamental volatility of the underlying …