Anna Helmke

Ph.D. Candidate in Finance

The Wharton School, University of Pennsylvania 



I am a Ph.D. Candidate in Finance at the Wharton School of the University of Pennsylvania. I will be joining the Owen Graduate School of Management at Vanderbilt University as an Assistant Professor of Finance in June 2024. 

My research focuses on financial markets, financial intermediation and portfolio theory. I study the problems faced by investors, asset managers and regulators. I am particularly interested in the rise of index investing and the financial fragility risks emerging from non-bank financial institutions.

Prior to my doctoral studies at Wharton, I graduated from the University of Oxford with a M.Sc. in Financial Economics. I received my B.Sc. in Economics from Maastricht University. My research has benefited from visits at the European Central Bank, International Monetary Fund and Federal Reserve Bank of New York. 

Working papers


This paper challenges the conventional wisdom that exchange-traded funds (ETFs) are more liquid than open-end mutual funds. I build a model and establish that same-index ETFs and mutual funds provide liquidity at different horizons. Investors facing higher (lower) liquidity risk and thus shorter (longer) investment horizons prefer mutual funds (ETFs). Since they can be redeemed at NAV, mutual funds holding illiquid assets provide higher short-term liquidity, but the resulting payoff complementarities make them underperform ETFs in the long run. ETFs, however, are subject to mispricing and illiquidity in the short term due to arbitrageurs’ balance-sheet constraints. In equilibrium, both funds coexist when investors face heterogeneous liquidity needs. The model generates novel, testable predictions concerning the competition and future trajectory of index ETFs and mutual funds.

Work in progress

Measuring Index Fund Performance 

with Darcy Pu and Yizhen Xie

Do ETF Investor Clienteles Affect Asset Price Dynamics? 

with Benjamin Mosk and Felix Suntheim

Other publications

International Monetary Fund. 2022. Global Financial Stability Report: Navigating the High Inflation Environment. Washington, DC, October. 

Chapter 3: Asset Price Fragility in Times of Stress: The Role of Open-End Investment Funds

with Andrea Deghi, Zhi Ken Gan, Pierre Guérin, Tara Iyer, Junghwan Mok, Xinyi Su and Felix Suntheim


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