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 …

Passive investments such as exchange-traded funds (ETFs) provide an opportunity to invest
in indexes, asset classes, and sectors with low maintenance costs and high transparency …

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 …

Using both survey and trading data from 9,286 retail investors for the 2005–2011 period, we
highlight the impact of financial literacy and risk tolerance on retail stock portfolio exposure …

We investigate the effect of exchange-traded fund (ETF) liquidity on ETF tracking errors,
returns, and volatility in the US. We find that illiquid ETFs have large tracking errors. The …

Prices and returns are alternative ways to present information and to elicit expectations in
financial markets. But do investors think of prices and returns in the same way? We present …

We document and explain the sharp performance deterioration of smart beta indexes after
the corresponding exchange-traded funds (ETFs) are launched for investment. While smart …

Purpose Evidence suggests that retail investors who invest in individual stocks are, in the
long run, largely outperformed by market indexes such as the MSCI World. While some turn …

We model financial innovations such as Exchange-Traded Funds, smart beta products, and
many index-based vehicles as composite securities (CSs) that facilitate trading the common …

We provide novel evidence that arbitrageurs use exchange-traded funds (ETFs) as an
avenue to circumvent short-sale constraints at the stock level. Using a large sample of US …