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Do ETFs Increase Volatility?
16 references·16 citing·23 second hopsampled
Do ETFs Increase Volatility? (2014)Do ETFs Increase Volatility?A five-factor asset pricing model (2014)A five-factor asset pricing m…The other side of value: The gross profitability premium (2013)The other side of value: The …Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Asset Fire Sales (and Purchases) in Equity Markets (2005)Asset Fire Sales (and Purchas…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Measuring Mutual Fund Perform…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Liquidity and Market Structure (1988)Liquidity and Market StructureDo Demand Curves for Stocks Slope Down? (1986)Do Demand Curves for Stocks S…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…How Competitive Is the Stock Market? Theory, Evidence from Portfolios, and Implications for the Rise of Passive Investing (2025)How Competitive Is the Stock …Competition for Attention in the ETF Space (2022)Competition for Attention in …Benchmarking Intensity (2022)Benchmarking IntensityThe Granular Nature of Large Institutional Investors (2021)The Granular Nature of Large …The Big Three and corporate carbon emissions around the world (2021)The Big Three and corporate c…In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis (2021)In Search of the Origins of F…The Big Three and Corporate Carbon Emissions Around the World (2020)The Big Three and Corporate C…Innovation and Informed Trading: Evidence from Industry ETFs (2020)Innovation and Informed Tradi…ETF Arbitrage, Non-Fundamental Demand, and Return Predictability (2020)ETF Arbitrage, Non-Fundamenta…ETF Activity and Informational Efficiency of Underlying Securities (2020)ETF Activity and Informationa…The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs) (2017)The impact of innovation: Evi…Is there a dark side to exchange traded funds? An information perspective (2017)Is there a dark side to excha…Inefficiencies in the Pricing of Exchange-Traded Funds (2017)Inefficiencies in the Pricing…Does corporate social responsibility create shareholder value? The importance of long-term investors (2017)Does corporate social respons…Can ETFs Increase Market Fragility? Effect of Information Linkages in ETF Markets (2017)Can ETFs Increase Market Frag…OECD Working Papers on Finance, Insurance and Private Pensions (2010)OECD Working Papers on Financ…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Market Liquidity and Funding Liquidity (2008)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Multifactor Explanations of Asset Pricing Anomalies (1996)Editor's Choice Digesting Anomalies: An Investment ApproachAsset pricing with liquidity risk (2005)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Do Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
  • 2013The other side of value: The gross profitability premium1,977 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 2005Asset Fire Sales (and Purchases) in Equity Markets1,704 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1986Do Demand Curves for Stocks Slope Down?

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  • 2020The Big Three and Corporate Carbon Emissions Around the World197 cited
  • 2010OECD Working Papers on Finance, Insurance and Private Pensions166 cited
  • 2017The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs)166 cited
  • 2022Benchmarking Intensity159 cited
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  • 2017Inefficiencies in the Pricing of Exchange-Traded Funds148 cited
  • 2020Innovation and Informed Trading: Evidence from Industry ETFs134 cited
  • 2020ETF Arbitrage, Non-Fundamental Demand, and Return Predictability132 cited
  • 2022Competition for Attention in the ETF Space127 cited
  • 2017Can ETFs Increase Market Fragility? Effect of Information Linkages in ETF Markets126 cited
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