12,348
Views
5
CrossRef citations to date
0
Altmetric
Research

The Revenge of the Stock Pickers

ORCID Icon, , CFA, , CFA, ORCID Icon & , CFA

References

  • American Express Company2015. “2015 American Express Company Annual Report.” https://ir.americanexpress.com/Cache/1500081626.PDF?O=PDF&T=&Y=&D=& FID=1500081626&iid=102700.
  • Barberis, Nicholas, Andrei Shleifer, and Jeffrey Wurgler. 2005. “Comovement.” Journal of Financial Economics, vol. 75, no. 2: 283–317.
  • Ben-David, Itzhak, Francesco A. Franzoni, and Rabih Moussawi. 2018. “Do ETFs Increase Volatility?” Journal of Finance, vol. 73, no. 6: 2471–535.
  • Brown, David C., Shaun Davies, and Matthew C. Ringgenberg. 2018. “ETF Flows, Non-Fundamental Demand, and Return Predictability.” Working paper (November) .
  • Cahan, Rochester, Yu Bai, and Sungsoo Yang. 2018. “The ETF Selection Model—Don’t Pick the ETF, Pick the Stocks in the ETF.” Empirical Research Partners14 (February) .
  • Chao, Alex, Ronnie Shah, Pam Finelli, Hallie Martin, Chin Okoro, Srineel Jalagani, George Zhao, and David Elledge. 2018. “What Happens When the World Goes Passive? Active ETF Flow Strategies.” Deutsche Bank Research, Quantitative Strategy16 (July) .
  • Da, Zhi, and Sophie Shive. 2018. “Exchange Traded Funds and Asset Return Correlations.” European Financial Management, vol. 24, no. 1: 136–68.
  • Giamouridis, Daniel. 2017. “Systematic Investment Strategies.” Financial Analysts Journal, vol. 73, no. 4: 10–14.
  • Glosten, Lawrence R., Suresh Nallareddy, and Yuan Zou. 2016. “ETF Activity and Informational Efficiency of Underlying Securities.” Columbia Business School Research Paper No. 16-71 (December) .
  • Greenwood, Robin M., and Nathan Sosner. 2007. “Trading Patterns and Excess Comovement of Stock Returns.” Financial Analysts Journal, vol. 63, no. 5: 69–81.
  • Hill, Joanne. 2016. “The Evolution and Success of Index Strategies in ETFs.” Financial Analysts Journal, vol. 72, no. 5: 8–13.
  • Madhavan, Ananth, and Daniel Morillo. 2018. “The Impact of Flows into Exchange Traded Funds: Volumes and Correlations.” Journal of Portfolio Management, vol. 44, no. 7: 96–107.
  • Page, Sebastien, and Robert A. Panariello. 2018. “When Diversification Fails.” Financial Analysts Journal, vol. 74, no. 3: 19–32.
  • Sullivan, Rodney N., and James X. Xiong. 2012. “How Index Trading Increases Market Vulnerability.” Financial Analysts Journal, vol. 68, no. 2: 70–84.
  • Wurgler, Jeffrey. 2010. “On the Economic Consequences of Index-Linked Investing.” NBER Working Paper 16376 (September) .