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Exchange Traded Funds and Asset Return Correlations
15 references·16 citing·48 second hop
Exchange Traded Funds and Asset Return Correlations (2012)Exchange Traded Funds and Asset Return Co…Connected Stocks (2014)Connected StocksStock price fragility (2011)Stock price fragilityHow Does Size Affect Mutual Fund Behavior? (2008)How Does Size Affect Mutual F…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Investor attention, overconfidence and category learning (2006)Investor attention, overconfi…Comovement (2004)ComovementStyle investing (2003)Style investingNo Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Does Arbitrage Flatten Demand Curves for Stocks? (2002)Does Arbitrage Flatten Demand…Demand Curves for Stocks Do Slope Down: New Evidence from an Index Weights Adjustment (2000)Demand Curves for Stocks Do S…Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Consistent Covariance Matrix …New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index (1997)New Evidence on Stock Price E…The Limits of Arbitrage (1995)The Limits of ArbitragePrice and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures (1986)Price and Volume Effects Asso…Do Demand Curves for Stocks Slope Down? (1986)Do Demand Curves for Stocks S…How ETFs Amplify the Global Financial Cycle in Emerging Markets (2023)How ETFs Amplify the Global F…On index investing (2022)On index investingExchange-Traded Funds and Real Investment (2022)Exchange-Traded Funds and Rea…The Equilibrium Consequences of Indexing (2021)The Equilibrium Consequences …Hedging demand and market intraday momentum (2021)Hedging demand and market int…Digital innovation in wealth management landscape: the moderating role of robo advisors in behavioural biases and investment decision-making (2021)Digital innovation in wealth …The Shift from Active to Passive Investing: Risks to Financial Stability? (2020)The Shift from Active to Pass…Innovation and Informed Trading: Evidence from Industry ETFs (2020)Innovation and Informed Tradi…ETFs and information transfer across firms (2020)ETFs and information transfer…ETF Arbitrage, Non-Fundamental Demand, and Return Predictability (2020)ETF Arbitrage, Non-Fundamenta…All that glitters is not gold. The rise of gaming in the COVID-19 pandemic (2020)All that glitters is not gold…Intraday Arbitrage Between ETFs and their Underlying Portfolios (2019)Intraday Arbitrage Between ET…Indexing and stock market serial dependence around the world (2018)Indexing and stock market ser…The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs) (2017)The impact of innovation: Evi…Exchange-Traded Funds (2017)Exchange-Traded FundsLiquidity, style investing and excess comovement of exchange-traded fund returns (2016)Liquidity, style investing an…The Adjustment of Stock Prices to New Information (1969)Principles of Corporate Finance. 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(2014)Judgment under Uncertainty: Heuristics and Biases (1974)Dumb money: Mutual fund flows and the cross-section of stock returns (2008)Innovative efficiency and stock returns (2012)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
this work references cited by second hop

References

  • 1998Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data6,815 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1986Do Demand Curves for Stocks Slope Down?1,524 cited
  • 2006Investor attention, overconfidence and category learning1,451 cited
  • 1986Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures1,023 cited
  • 2003Style investing971 cited
  • 2004Comovement929 cited
  • 2002Does Arbitrage Flatten Demand Curves for Stocks?861 cited
  • 1997New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index493 cited
  • 2008How Does Size Affect Mutual Fund Behavior?394 cited
  • 2000Demand Curves for Stocks Do Slope Down: New Evidence from an Index Weights Adjustment377 cited
  • 2014Connected Stocks374 cited
  • 2011Stock price fragility300 cited

Cited by

  • 2017

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Exchange-Traded Funds
181 cited
  • 2017The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs)166 cited
  • 2020Innovation and Informed Trading: Evidence from Industry ETFs134 cited
  • 2020ETF Arbitrage, Non-Fundamental Demand, and Return Predictability132 cited
  • 2020All that glitters is not gold. The rise of gaming in the COVID-19 pandemic112 cited
  • 2022On index investing109 cited
  • 2021Hedging demand and market intraday momentum98 cited
  • 2018Indexing and stock market serial dependence around the world89 cited
  • 2020The Shift from Active to Passive Investing: Risks to Financial Stability?85 cited
  • 2019Intraday Arbitrage Between ETFs and their Underlying Portfolios77 cited
  • 2021The Equilibrium Consequences of Indexing76 cited
  • 2016Liquidity, style investing and excess comovement of exchange-traded fund returns73 cited
  • 2023How ETFs Amplify the Global Financial Cycle in Emerging Markets72 cited
  • 2021Digital innovation in wealth management landscape: the moderating role of robo advisors in behavioural biases and investment decision-making70 cited
  • 2020ETFs and information transfer across firms67 cited
  • 2022Exchange-Traded Funds and Real Investment66 cited