The Unexpected Activeness of Passive Investors: A Worldwide Analysis of ETFs

Si Cheng, Massimo Massa, Hong Zhang

Research output: Contribution to journalArticlepeer-review

5 Scopus citations


The global ETF industry provides more complicated investment vehicles than low-cost index trackers. Instead, we find that the real investments of ETFs may deviate 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. Moreover, ETF flows seem to respond to additional risk. These results have important normative implications for consumer protection and financial stability. Received March 18, 2017; Editorial decision October 14, 2018 by Editor Raman Uppal. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

Original languageEnglish (US)
Pages (from-to)296-355
Number of pages60
JournalReview of Asset Pricing Studies
Issue number2
StatePublished - Dec 1 2019
Externally publishedYes


  • G20

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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