Exchange-Traded Funds and the Wash Sale Loophole

The authors acknowledge Mary Cowx (discussant), Robert Feldgarden, Wentao Li, Shaphan Ng (discussant), Ben Yost (discussant), and seminar and workshop participants at the 2025 Financial Accounting and Reporting Section Midyear Meeting, the 2025 Hawaii Accounting Research Conference, the 2024 Conference on Financial Economics and Accounting, the 2024 University of Georgia Fall Accounting Symposium, Baruch College, Georgetown University, the University at Buffalo, the University of Illinois Chicago, the University of Washington, the Brigham Young University Accounting Research Symposium, The Stanford Initiative for Business, Taxation, and Society Lab, the PhD Accounting Workshop Series, two anonymous reviewers, an anonymous associate editor, and Shiva Rajgopal (editor) for helpful suggestions. They also thank Douglas Laporte and Christina Zhu for assistance with the ETF Global and Abel Noser data. Suhani Aggarwal, Luke Alexander, Isha Bhansali, Stefanie Luo, and Justin Sialm provided excellent research assistance.