The interplay between investors' demand and providers' incentives has shaped the
evolution of exchange-traded funds (ETFs). While early ETFs invested in broad-based …

This study proposes a principal alpha-style factor integrated risk parity strategy that can
diversify style risk factors and the stock selection risk of external managers in Fund-of-Funds …

Most ETFs replicate indexes licensed by index providers. We show that index providers
wield strong market power and charge large markups to ETFs that are passed on to …

By analyzing portfolio holdings, we find that a significant subset of hedged mutual funds
(HMFs) and smart‐beta exchange‐traded funds (ETFs) tilt their portfolios toward well‐known …

Within the growing market for exchange-traded funds (ETFs), we identify many dominated
ETFs with returns that are highly correlated with those of cheaper, more liquid competitors …

We propose that institutional investors' portfolio rebalancing across asset classes
contributes to the stock market's puzzlingly large response to monetary shocks. We identify …

We show that demand effects generated by institutional frictions can influence systematic
return predictability patterns in stocks and mutual funds. Identification relies on a reform to …

This study is unique in examining the spillover and leverage effect of Smart Beta Exchange
Traded Funds (SB ETFs) and their underlying indices and Cap-Weighted (CW) indices. We …

Investigating how ETF ownership impacts anomalies and market efficiency, we find that low
ETF ownership stocks yield higher returns, greater Sharpe ratios, and more significant …

We study the effects of quantitative investing, an increasingly popular investment style, on
financial market quality. Within a noisy REE model of strategic speculation with two informed …