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Professor of Finance
Cheng S., Massa M., Zhang H. (2019). The Unexpected Activeness of Passive Investors: A Worldwide Analysis of ETFs Review of Asset Pricing Studies, 9(2), pp. 296-355.
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.