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  1. Competition for attention in the ETF space
    Autor*in: Ben-David, Itzhak; Franzoni, Francesco; Kim, Byungwook; Moussawi, Rabih
    Erschienen: January 2021
    Verlag:  The Ohio State University, Fisher College of Business, Charles A. Dice Center for Research in Financial Economics, [Columbus, Ohio] ; Swiss Finance Institute, Geneva

    The interplay between investors' demand and providers' incentives has shaped the evolution of exchange-traded funds (ETFs). While early ETFs offered diversification at low cost, later ETFs track niche portfolios and charge high fees. Strikingly, over... mehr

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    The interplay between investors' demand and providers' incentives has shaped the evolution of exchange-traded funds (ETFs). While early ETFs offered diversification at low cost, later ETFs track niche portfolios and charge high fees. Strikingly, over their first five years, specialized ETFs lose about 30% in risk-adjusted terms. This underperformance cannot be explained by high fees or hedging demand. Rather, it is driven by the overvaluation of the underlying stocks. Overall, providers appear to cater to investors' extrapolative beliefs by issuing specialized ETFs that track attention-grabbing themes

     
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    Schriftenreihe: Working papers series / Charles A. Dice Center for Research in Financial Economics ; WP 2021, 01
    Fisher College of Business working paper series ; WP 2021-03, 01
    Research paper series / Swiss Finance Institute ; no 21, 03
    Schlagworte: ETFs; investor attention; financial innovation; attention; exchange-traded funds; competition; retail investors; trading; securities; mutual funds; financial intermediation; overvaluation
    Umfang: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  2. Market impact of government communication
    the case of presidential tweets
    Autor*in: Abdi, Farshid; Kormanyos, Emily; Pelizzon, Loriana; Getmansky, Mila; Simon, Zorka
    Erschienen: [2021]
    Verlag:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, Frankfurt am Main

    We propose the "President reacts to news" channel of stock returns by studying the financial market impact of the Twitter account of the 45th president of the United States, Donald Trump. We use machine learning algorithms to classify topic and... mehr

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    We propose the "President reacts to news" channel of stock returns by studying the financial market impact of the Twitter account of the 45th president of the United States, Donald Trump. We use machine learning algorithms to classify topic and textual sentiment of 1,400 economy-related tweets to investigate whether they contain relevant information for financial markets. Analyzing high-frequency data, we find that after controlling for past market movements, most tweets are reactive and predictable, rather than novel and informative. The exceptions are tweet topics where the president has direct policy authority and his negative sentiment could adversely a↵ect economic outcomes.

     
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    hdl: 10419/243280
    Schriftenreihe: SAFE working paper ; no. 314
    Schlagworte: Government communication; Social media; Twitter; Machine learning; ETFs
    Umfang: 1 Online-Ressource (circa 86 Seiten), Illustrationen
  3. Global realignment in financial market dynamics
    evidence from ETF networks
    Autor*in: Billio, Monica; Lo, Andrew W.; Pelizzon, Loriana; Getmansky, Mila; Zareei, Abalfazl
    Erschienen: [2021]
    Verlag:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, Frankfurt am Main

    The centrality of the United States in the global financial system is taken for granted, but its response to recent political and epidemiological events has suggested that China now holds a comparable position. Using minute-by-minute data from 2012... mehr

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    The centrality of the United States in the global financial system is taken for granted, but its response to recent political and epidemiological events has suggested that China now holds a comparable position. Using minute-by-minute data from 2012 to 2020 on the financial performance of twelve country-specific exchange-traded funds, we construct daily snapshots of the global financial network and analyze them for the centrality and connectedness of each country in our sample. We find evidence that the U.S. was central to the global financial system into 2018, but that the U.S.-China trade war of 2018-2019 diminished its centrality, and the Covid-19 outbreak of 2019-2020 increased the centrality of China. These indicators may be the first signals that the global financial system is moving from a unipolar to a bipolar world.

     
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    hdl: 10419/229432
    Schriftenreihe: SAFE working paper ; no. 304
    Schlagworte: Network theory; Centrality; High Frequency Data; ETFs; Financial Crises; Covid-19; International Finance
    Umfang: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  4. A modern take on market efficiency
    the impact of Trump's tweets on financial markets
    Autor*in: Abdi, Farshid; Kormanyos, Emily; Pelizzon, Loriana; Getmansky, Mila; Simon, Zorka
    Erschienen: [2021]
    Verlag:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, Frankfurt am Main

    We focus on the role of social media as a high-frequency, unfiltered mass information transmission channel and how its use for government communication affects the aggregate stock markets. To measure this effect, we concentrate on one of the most... mehr

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    We focus on the role of social media as a high-frequency, unfiltered mass information transmission channel and how its use for government communication affects the aggregate stock markets. To measure this effect, we concentrate on one of the most prominent Twitter users, the 45th President of the United States, Donald J. Trump. We analyze around 1,400 of his tweets related to the US economy and classify them by topic and textual sentiment using machine learning algorithms. We investigate whether the tweets contain relevant information for financial markets, i.e. whether they affect market returns, volatility, and trading volumes. Using high-frequency data, we find that Trump's tweets are most often a reaction to pre-existing market trends and therefore do not provide material new information that would influence prices or trading. We show that past market information can help predict Trump's decision to tweet about the economy.

     
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    hdl: 10419/233887
    Schriftenreihe: SAFE working paper ; no. 314
    Schlagworte: Market efficiency; Social media; Twitter; High-frequency event study; Machine learning; ETFs
    Umfang: 1 Online-Ressource (circa 70 Seiten), Illustrationen
  5. Information and liquidity linkages in ETFs and underlying markets
    Autor*in: Fiedor, Paweł; Katsoulis, Petros
    Erschienen: [2020]
    Verlag:  [Central Bank of Ireland], Dublin, Irland

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    Schriftenreihe: Research technical paper / Central Bank of Ireland ; vol. 2020, no. 8
    Schlagworte: information links; ETFs; liquidity; returns; volatility
    Umfang: 1 Online-Ressource (circa 49 Seiten)
  6. ETFs, illiquid assets, and fire sales
    Autor*in: Shim, John J.; Todorov, Karamfil
    Erschienen: 2021
    Verlag:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Schriftenreihe: BIS working papers ; no 975 (November 2021)
    Schlagworte: bonds; ETFs; fire sales; liquidity
    Umfang: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  7. Steering a ship in illiquid waters
    active management of passive funds
    Autor*in: Koont, Naz; Ma, Yiming; Pástor, Ľuboš; Zeng, Yao
    Erschienen: 05 May 2022
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Array ; DP17283
    Schlagworte: Indexderivat; Investmentfonds; Fondsmanagement; Exchange-traded funds; ETFs; liquidity transformation; Active management
    Umfang: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  8. Is domestic uncertainty a local pull factor driving foreign capital inflows?
    new cross-country evidence
    Autor*in: Choi, Sangyup; Ciminelli, Gabriele; Furceri, Davide
    Erschienen: [2022]
    Verlag:  Australian National University, Crawford School of Public Policy, Canberra

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    Schriftenreihe: CAMA working paper series ; 2022, 64 (October 2022)
    Schlagworte: Uncertainty; Capital flows; World Uncertainty Index; Mutual funds; ETFs; COVID-19
    Umfang: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  9. Big three power, and why it matters
    Autor*in: Bebchuk, Lucian A.; Hirst, Scott
    Erschienen: [2022]
    Verlag:  Harvard Law School, Cambridge, MA

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    Schriftenreihe: Discussion paper / Harvard John M. Olin Center for Law, Economics, and Business ; no. 1087 (12/2022)
    Schlagworte: index funds; passive investing; institutional investors; ETFs; Big Three; stewardship; engagement; monitoring; shareholder activism; corporate voting; ownership concentration
    Umfang: 1 Online-Ressource (circa 59 Seiten)
  10. Hedge fund investment in ETFs
    Autor*in: Cumming, Douglas J.; Monteiro, Pedro
    Erschienen: [2023]
    Verlag:  Center for Financial Studies, Goethe University, Frankfurt am Main, Germany

    This paper examines the causes and consequences of hedge fund investments in exchange traded funds (ETFs) using U.S. data from 1998 to 2018. The data indicate that transient hedge funds and quasi-indexer hedge funds are substantially more likely to... mehr

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    This paper examines the causes and consequences of hedge fund investments in exchange traded funds (ETFs) using U.S. data from 1998 to 2018. The data indicate that transient hedge funds and quasi-indexer hedge funds are substantially more likely to invest in ETFs. Unexpected hedge fund inflows cause a rise in ETF investments, and the economic significance of unexpected flow is more than twice as large for transient than quasi-indexer hedge funds. ETF investment is in general associated with lower hedge fund performance. But when ETF investment is accompanied by an increase in total flow and unexpected flow, the negative impact of ETF holdings on performance is mitigated. The data are consistent with the view that hedge fund ETF investment unrelated to unexpected flow is an agency cost of delegated portfolio management.

     
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    hdl: 10419/268901
    Auflage/Ausgabe: This Draft: January 31, 2023
    Schriftenreihe: CFS working paper series ; no. 699
    Schlagworte: Hedge funds; Exchange traded funds; ETFs; Agency costs; Active investors; Delegated portfolio management
    Weitere Schlagworte: Array
    Umfang: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  11. ETF Activities and Analysts’ Forecasts
    Autor*in: Kothari, S. P.; Li, Jing; Li, Xu; Sheng, Mei
    Erschienen: [2023]
    Verlag:  SSRN, [S.l.]

    We document an improvement in analysts’ forecast accuracy following increased sector ETF ownership. We identify a possible channel for this result, i.e., because ETFs are more informative with respect to industry-level information, analysts learn... mehr

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    We document an improvement in analysts’ forecast accuracy following increased sector ETF ownership. We identify a possible channel for this result, i.e., because ETFs are more informative with respect to industry-level information, analysts learn directly and efficiently from ETFs about this type of information component in individual firms’ earnings. As a result, analysts have an opportunity to re-optimize their attention to firm-specific information and improve forecast accuracy. Consistent with such a channel, analysts of follower firms revise their earnings forecasts more efficiently (i.e., exhibit greater sensitivity) to an announcer firm’s earnings announcement in the same sector ETF. Furthermore, this revision is stronger when ETFs are more actively traded, when analysts are less experienced with individual firms, and when analysts follow more firms and cover more industries

     
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    Schriftenreihe: MIT Sloan Research Paper ; No. 6935-23
    Schlagworte: ETFs; Sell-side Analysts; Information Transfer; Sector ETFs; Analysts’ Forecasts
    Weitere Schlagworte: Array
    Umfang: 1 Online-Ressource (41 p)
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    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 24, 2023 erstellt
  12. Passive ownership and short selling
    Autor*in: Von Beschwitz, Bastian; Honkanen, Pekka; Schmidt, Daniel
    Erschienen: [2022]
    Verlag:  Board of Governors of the Federal Reserve System, [Washington, DC]

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    Schriftenreihe: International finance discussion papers ; number 1365 (December 2022)
    Schlagworte: ETFs; securities lending; short selling
    Umfang: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  13. Digital interventions to increase financial knowledge
    evidence from a pilot RCT
    Autor*in: Oberrauch, Luis; Kaiser, Tim
    Erschienen: February 2024
    Verlag:  IZA - Institute of Labor Economics, Bonn, Germany

    We study the effects of low-intensity digital financial education interventions on undergraduate students' financial knowledge in a small-scale RCT. We test the substitutability or complementarity of two treatments: an online video financial... mehr

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    We study the effects of low-intensity digital financial education interventions on undergraduate students' financial knowledge in a small-scale RCT. We test the substitutability or complementarity of two treatments: an online video financial education treatment and an incentive-based approach where students are issued pre-paid voucher cards worth 50 EUR to register with a broker specializing in roboadvised investment in Exchange Traded Funds (ETFs). Three months after the intervention, the video treatment enhanced financial knowledge scores by more than 50 percent of a standard deviation. Conversely, the vouchers showed no effect. The findings suggest that subsidies encouraging roboadvised investment into ETFs cannot substitute direct financial education in our setting, and there is no evidence for complementarity between these interventions in creating human capital in the domain of financial decision-making.

     
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    Schriftenreihe: Discussion paper series / IZA ; no. 16811
    Schlagworte: digital intervention; financial literacy; financial knowledge; financial education; robo-advisor; ETFs
    Umfang: 1 Online-Ressource (circa 27 Seiten), Illustrationen