Author's School

Olin Business School

Author's Department

Finance

Language

English (en)

Date of Award

Summer 8-15-2022

Degree Type

Dissertation

Degree Name

Doctor of Business Administration (DBA)

Chair and Committee

Zachary Kaplan

Committee Members

Todd Gormley, Asaf Manela,

Abstract

Investors who want access to active asset management can choose to invest in actively managed exchange traded funds (AMETFs), actively managed non-transparent ETFs (ANETFs) or mutual funds. Three major differences of AMETFs, ANETFs and mutual funds are the venues funds are traded on, tax liabilities, and disclosure requirements. This paper exploits the 2019 SEC rulings on ETFs to study empirically which fund structure for active asset management delivers the best return performance and explores what are the driving forces behind the superior performance. I find that for equity funds, AMETFs is associated with 0.158% lower monthly returns than mutual fund, suggesting the cost of higher disclosure frequency exceeds tax benefits of AMETFs.

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