Publication Type
Journal Article
Version
submittedVersion
Publication Date
12-2019
Abstract
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. (JEL G20)
Discipline
Finance | Finance and Financial Management
Research Areas
Finance
Publication
Review of Asset Pricing Studies
Volume
9
Issue
2
First Page
296
Last Page
355
ISSN
2045-9920
Identifier
10.1093/rapstu/ray011
Publisher
Oxford University Press (OUP): Policy F - Oxford Open Option D - RCUK
Citation
CHENG, Si; MASSA, Massimo; and ZHANG, Hong.
The unexpected activeness of passive investors: A worldwide analysis of ETFs. (2019). Review of Asset Pricing Studies. 9, (2), 296-355.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/7081
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1093/rapstu/ray011