Passive investments such as exchange-traded funds (ETFs) provide an opportunity to invest
in indexes, asset classes, and sectors with low maintenance costs and high transparency …

I investigate the relation between exchange-traded fund (ETF) flows and their underlying
securities' returns using a unique fund-level database covering US equity ETFs, adjusted for …

Bond ETFs trading at a premium (discount) to NAV experience more creations (redemptions)
than those trading at parity. When these transactions occur, subsequent returns partially …

Many option pricing models imply that the price of a call option is a monotonically increasing
function of the value of its underlying asset, and the price of a put option is a monotonically …

The commodity ETF market has reached an equilibrium where most precious-metal ETFs
are backed with physical assets, while other commodity ETFs tend to be backed with futures …

The recent rapid growth of passive investment instruments in the fixed-income market raises
the question of their relative outperformance compared to corresponding active investment …

Exchange-Traded Funds (ETFs) have revolutionised the asset-management industry with
high liquidity and low bid-asks allowing investors to access a diversified portfolio cheaply …

Equity markets are amongst the most researched areas in asset pricing literature. Data
availability and the liquid and transparent nature of equity markets have aided research in …

This thesis seeks answer to the question of whether US monetary policy matters for capital
flows to ETFs listed in the US. Under a structural vector autoregression framework, impulse …

This article describes in detail the multiplicative quadrinomial tree numerical method with
nonconstant volatility, based on a system of stochastic differential equations of the GARCH …