Citation

Discussion Paper Details

Please find the details for DP11988 in an easy to copy and paste format below:

Full Details   |   Bibliographic Reference

Full Details

Title: The Unexpected Activeness of Passive Investors: A World-Wide Analysis of ETFs

Author(s): Si Cheng, Massimo Massa and Hong Zhang

Publication Date: April 2017

Keyword(s): banks, Distress, ETFs, shadow banking and Subsidization

Programme Area(s): Financial Economics

Abstract: The global ETF industry provides more complicated investment vehicles than just low-cost index trackers. Instead, we find that the real investments of ETFs deviates 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. Market awareness of such additional risk is reflected in ETF outflows. These results have important normative implications for consumer protection and financial stability

For full details and related downloads, please visit: https://cepr.org/active/publications/discussion_papers/dp.php?dpno=11988

Bibliographic Reference

Cheng, S, Massa, M and Zhang, H. 2017. 'The Unexpected Activeness of Passive Investors: A World-Wide Analysis of ETFs'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=11988