The percentage of U.S. equity mutual funds that outperform the SPY ETF over the last 30 years decreases substantially as the horizon over which returns are measured is increased. Further, some funds with positive monthly alpha estimates have negative long-horizon abnormal returns. These results...

This paper provides novel evidence of information asymmetry in Exchange-Traded Fund (ETF) markets, focusing on the informativeness of ETF flows. By decomposing daily ETF flows into three components, we find that certain ETF shares are created or redeemed in anticipation of forthcoming news,...

Non-fundamental demand shocks have significant effects on asset prices, but observing these shocks is challenging. We use the exchange traded fund (ETF) primary market to study non-fundamental demand. Unique to the ETF market, specialized arbitrageurs called authorized participants correct...

We examine changes to the products of public target firms after LBO using a novel dataset of firm products. We find that private equity funds cut target firms' new products after LBO, especially when there is less room to improve the target firm's performance through financial engineering....