Abstract: This paper argues that a lesser-known yet economically significant tax-deferral feature of ETFs' security design is crucial to their success. By relying on the in-kind redemption exemption, authorized participants help ETFs avoid distributing capital gains and reduce their tax overhang, partly by deploying heartbeat trades. We estimate that the ETF tax efficiency has increased long-term investors' after-tax returns by 1.05% per year relative to mutual funds in recent years. Exploiting cross-sectional and time-series variations in investors' tax burden, we show that tax efficiency is a significant driver of capital migration by high-net-worth investors from mutual funds into ETFs.

Abstract: This paper revisits the glass cliff phenomenon in corporate spheres, which asserts that women predominantly advance into leadership roles in precarious times, when the chance of failure is highest. Compared to prior studies, we greatly expand the sample of female CEO appointments by extending our sample in time and breadth. Moreover, we address confounding effects and explore heterogeneous and non-linear relationships. Using a variety of accounting- and market-based variables to proxy for precarious situations, our results do not provide clear evidence of a glass cliff effect in US corporations, implying that earlier findings may have been specific to the samples and methods used.

Abstract: We examine the introduction of fractional trading and its impact on retail security ownership. Fractional trading aims to increase investor access to securities with high prices. Over the initial months of Robinhood's fractional trading program, the number of unique owners increases approximately 53 percentage points more for stocks priced above $100 versus those priced below $50. On an intraday basis, high-price stocks exhibit incremental ownership growth specifically during periods when fractional trading is permitted. Our results show that Robinhood investors make ample use of fractional trading to acquire previously inaccessible securities, indicating a substantial reduction in price-based investing frictions and carrying implications for retail portfolio management. In addition, we show that the potential market impacts of fractional trading activity appear negligible based on share volume data from multiple brokers with fractional trading programs.

Abstract: Using data on stocks held by individual investors at retail brokerage firm Robinhood, we document that these investors are actively engaged in both momentum and contrarian trading strategies. In response to the increased volatility and uncertainty in financial markets due to the COVID-19 pandemic in March 2020, we find that retail investors reduce momentum trading and increase contrarian trading activity during the initial phase of this crisis. We also find that the impact of Robinhood investors on several measures of market quality varied depending on market conditions, coinciding with better market quality during less-stressful periods and worse market quality during the early weeks of the pandemic in the U.S.

Abstract: This paper documents that small-cap mutual funds allocate on average 27% of their portfolio to mid- and large-cap stocks. We find that larger and older small-cap funds are more likely to hold mid- and large-cap stocks, consistent with funds straying from their objective over time. Funds that invest heavily in mid- and large-cap stocks expose their investors to unanticipated risks but investors do not experience higher abnormal returns or performance persistence overall.

Abstract: An important question in hedge fund management is whether hedge funds experience decreasing returns to scale, as hedge fund managers often pursue arbitrage opportunities which are limited and short-lived. Using an unbiased estimation method based on recursive demeaning, we find no evidence of decreasing returns to scale at the fund level. However, we do find evidence that hedge fund returns are decreasing in industry size, consistent with competition effects.