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Is there a dark side to exchange traded funds? An information perspective

Citations

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Cited by:

  1. Bae, Kyounghun & Kim, Daejin, 2020. "Liquidity risk and exchange-traded fund returns, variances, and tracking errors," Journal of Financial Economics, Elsevier, vol. 138(1), pages 222-253.
  2. Chattopadhyay, Akash & Shaffer, Matthew D. & Wang, Charles C.Y., 2020. "Governance through shame and aspiration: Index creation and corporate behavior," Journal of Financial Economics, Elsevier, vol. 135(3), pages 704-724.
  3. David E. Rappoport & Tugkan Tuzun, 2020. "Arbitrage and Liquidity: Evidence from a Panel of Exchange Traded Funds," Finance and Economics Discussion Series 2020-097, Board of Governors of the Federal Reserve System (U.S.).
  4. Yuan, Ying & Huang, Yizhao & Chen, Haoran, 2021. "Monthly-rebalanced leveraged exchange-traded products: Performance and mandatory rebalancing needs," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  5. Liu, Sha, 2023. "Do investors and managers of active ETFs react to social media activities?," Finance Research Letters, Elsevier, vol. 51(C).
  6. Shiyang Huang & Maureen O’Hara & Zhuo Zhong, 2021. "Innovation and Informed Trading: Evidence from Industry ETFs [Short interest, institutional ownership, and stock returns]," The Review of Financial Studies, Society for Financial Studies, vol. 34(3), pages 1280-1316.
  7. In-Mu Haw & Wenming Wang & Wenlan Zhang & Xu Zhang, 2022. "Capturing the straw in the wind: do short sellers trade on customer information?," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1363-1394, May.
  8. Daniel Schmidt & Bastian von Beschwitz, 2022. "Passive Ownership and Short Selling," International Finance Discussion Papers 1365, Board of Governors of the Federal Reserve System (U.S.).
  9. Marta Khomyn, 2020. "Essays on Modern Market Structure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2020.
  10. Saæglam, Mehmet & Tuzun, Tugkan & Wermers, Russ, 2021. "Do ETFs increase liquidity?," CFR Working Papers 21-03, University of Cologne, Centre for Financial Research (CFR).
  11. Gider, Jasmin & Schmickler, Simon & Westheide, Christian, 2019. "High-frequency trading and price informativeness," SAFE Working Paper Series 248, Leibniz Institute for Financial Research SAFE, revised 2019.
  12. Blankespoor, Elizabeth & deHaan, Ed & Marinovic, Iván, 2020. "Disclosure processing costs, investors’ information choice, and equity market outcomes: A review," Journal of Accounting and Economics, Elsevier, vol. 70(2).
  13. Ahmed S. Baig & Benjamin M. Blau & R. Jared DeLisle, 2022. "Does mutual fund ownership reduce stock price clustering? Evidence from active and index funds," Review of Quantitative Finance and Accounting, Springer, vol. 58(2), pages 615-647, February.
  14. Eduardo Levy-Yeyati & Nathan Converse & Tomas Williams, 2017. "How ETFs Amplify the Global Financial Cycle in Emerging Markets," School of Government Working Papers 201702, Universidad Torcuato Di Tella.
  15. Baumann, Michael Heinrich & Herz, Bernhard & Baumann, Michaela, 2018. "Exchange-traded Funds, Investment Strategies, and Financial Stability," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181542, Verein für Socialpolitik / German Economic Association.
  16. Jang, In Ji & Kang, Namho & Yezegel, Ari, 2022. "Common ownership, price informativeness, and corporate investment," Journal of Banking & Finance, Elsevier, vol. 135(C).
  17. Xu, Liao & Xu, Lu & Zhao, Jing & Zhao, Yang, 2020. "Information-based trading and information propagation: Evidence from the exchange traded fund market," International Review of Financial Analysis, Elsevier, vol. 70(C).
  18. Enrique Molina‐Muñoz & Andrés Mora‐Valencia & Javier Perote, 2021. "Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4163-4189, July.
  19. Doron Israeli & Ron Kaniel & Suhas A. Sridharan, 2022. "The Real Side of the High-Volume Return Premium," Management Science, INFORMS, vol. 68(2), pages 1426-1449, February.
  20. Gemayel, Roland & Franus, Tatiana & Bowden, James, 2023. "Price discovery between Bitcoin spot markets and exchange traded products," Economics Letters, Elsevier, vol. 228(C).
  21. Joachim Gassen & Hollis A. Skaife & David Veenman, 2020. "Illiquidity and the Measurement of Stock Price Synchronicity," Contemporary Accounting Research, John Wiley & Sons, vol. 37(1), pages 419-456, March.
  22. Ikhlaas Gurrib & Firuz Kamalov & Elgilani E. Alshareif, 2022. "High Frequency Return and Risk Patterns in U.S. Sector ETFs during COVID-19," International Journal of Energy Economics and Policy, Econjournals, vol. 12(5), pages 441-456, September.
  23. Rhodes, Meredith E. & Mason, Joseph R., 2023. "ETF ownership and firm-specific information in corporate bond returns," Journal of Financial Markets, Elsevier, vol. 63(C).
  24. Fabrice Riva & Thomas Marta, 2022. "Do ETFs increase the comovements of their underlying assets? Evidence from a switch in ETF replication technique," Post-Print hal-03969597, HAL.
  25. Naqvi, Bushra & Rizvi, Syed Kumail Abbas & Hasnaoui, Amir & Shao, Xuefeng, 2022. "Going beyond sustainability: The diversification benefits of green energy financial products," Energy Economics, Elsevier, vol. 111(C).
  26. Brown, David C. & Davies, Shaun William, 2017. "Moral hazard in active asset management," Journal of Financial Economics, Elsevier, vol. 125(2), pages 311-325.
  27. Luca J. Liebi, 2020. "The effect of ETFs on financial markets: a literature review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 165-178, June.
  28. El Kalak, Izidin & Leung, Woon Sau & Takahashi, Hidenori & Yamada, Kazuo, 2023. "The Bank of Japan's equity purchases and stock illiquidity," Journal of Financial Markets, Elsevier, vol. 63(C).
  29. Lawrence Glosten & Suresh Nallareddy & Yuan Zou, 2021. "ETF Activity and Informational Efficiency of Underlying Securities," Management Science, INFORMS, vol. 67(1), pages 22-47, January.
  30. Fu, Chengbo & Huang, Qiping & Tang, Hongfei, 2022. "Do ETFs affect ADRs and U.S. domestic stocks differently?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
  31. Doron Israeli & Ron Kasznik & Suhas A. Sridharan, 2022. "Unexpected distractions and investor attention to corporate announcements," Review of Accounting Studies, Springer, vol. 27(2), pages 477-518, June.
  32. Box, Travis & Davis, Ryan & Evans, Richard & Lynch, Andrew, 2021. "Intraday arbitrage between ETFs and their underlying portfolios," Journal of Financial Economics, Elsevier, vol. 141(3), pages 1078-1095.
  33. An, Yu & Benetton, Matteo & Song, Yang, 2023. "Index providers: Whales behind the scenes of ETFs," Journal of Financial Economics, Elsevier, vol. 149(3), pages 407-433.
  34. Xu, Liao & Yin, Xiangkang & Zhao, Jing, 2019. "The sidedness and informativeness of ETF trading and the market efficiency of their underlying indexes," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
  35. Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva, 2019. "Does Index Arbitrage Distort the Market Reaction to Shocks?," CERGE-EI Working Papers wp651, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  36. Russell J. Lundholm, 2021. "FSA in an ETF world," Review of Accounting Studies, Springer, vol. 26(4), pages 1428-1455, December.
  37. Agarwal, Vikas & Hanouna, Paul & Moussawi, Rabih & Stahel, Christof W., 2021. "Do ETFs increase the commonality in liquidity of underlying stocks?," CFR Working Papers 21-04, University of Cologne, Centre for Financial Research (CFR).
  38. Bhojraj, Sanjeev & Mohanram, Partha & Zhang, Suning, 2020. "ETFs and information transfer across firms," Journal of Accounting and Economics, Elsevier, vol. 70(2).
  39. Ailie Charteris & Conrad Alexander Steyn, 2023. "The Bank of Japan’s exchange traded fund purchases: a help or hindrance to market efficiency?," Journal of Asset Management, Palgrave Macmillan, vol. 24(3), pages 225-240, May.
  40. Jacob Thomas & Frank Zhang & Wei Zhu, 2021. "Dark Trading and Post-Earnings-Announcement Drift," Management Science, INFORMS, vol. 67(12), pages 7785-7811, December.
  41. Bohl, Martin T. & Irwin, Scott H. & Pütz, Alexander & Sulewski, Christoph, 2023. "The impact of financialization on the efficiency of commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 31(C).
  42. Joey W. Yang & Lewis May & John Gould, 2023. "Exchange‐traded fund ownership and underlying stock mispricing," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(S1), pages 1417-1445, April.
  43. Wu, Weili & Zhu, Feifei, 2023. "ETF ownership and informational efficiency of underlying stocks: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  44. Baltussen, Guido & Da, Zhi & Lammers, Sten & Martens, Martin, 2021. "Hedging demand and market intraday momentum," Journal of Financial Economics, Elsevier, vol. 142(1), pages 377-403.
  45. De Rossi, Giuliano & Steliaros, Michael, 2022. "The Shift from Active to Passive and its Effect on Intraday Stock Dynamics," Journal of Banking & Finance, Elsevier, vol. 143(C).
  46. Gregory Boadu-Sebbe, 2022. "Effect of Exchange-Traded Funds Arbitrage Transactions on their Underlying Holdings," CERGE-EI Working Papers wp738, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  47. Fos, Vyacheslav & Chinco, Alex, 2019. "The Sound Of Many Funds Rebalancing," CEPR Discussion Papers 13561, C.E.P.R. Discussion Papers.
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