Publications

Journal Article

The global ETF industry provides more complicated investment vehicles than low-cost index trackers.

Instead, the authors 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.