Exchange traded funds (ETFs) have grown substantially in diversity and size in recent years, reflecting a broader shift towards passive, index investing. As a consequence, there is increased interest by practitioners in the pricing and liquidity of ETFs. This paper develops and estimates a model...

This paper analyzes the “return gap” between dollar-weighted returns that account for intermediate investor flows (internal rate of return) and buy-and-hold returns that funds typically report. Our sample constitutes all US-domiciled open-end mutual funds and exchange-traded funds (ETFs),...

"In Exchange-Traded Funds and the New Dynamics of Investing, Ananth Madhavan examines the quiet transformation of asset management through the rise of passive or index investing. A closely-related phenomenon is the rise of exchange-traded funds (ETFs). An ETF is an investment vehicle that trades...