An intertemporal study of ETF liquidity and underlying factor transition, 2009-2014
P Agrrawal, JM Clark, R Agarwal… - … J., Agarwal R. and Kale J …, 2014 - papers.ssrn.com
This article seeks to determine the migration of exchange-traded fund (ETF) liquidity and its
factor constituents in the US market over time, with the ultimate goal of making the ETF …
factor constituents in the US market over time, with the ultimate goal of making the ETF …
[BOOK][B] Measuring the liquidity of ETFs: An application to the european market
T Roncalli, B Zheng - 2019 - thierry-roncalli.com
The liquidity of exchange traded funds is of utmost importance for regulators, investors and
providers. However, the study of liquidity is still in its infancy. In this work, we show some …
providers. However, the study of liquidity is still in its infancy. In this work, we show some …
Do European ETFs Trading in the United States Help Investors Diversify?
European equities have a large weight in the developed and total world stock markets.
Consequently, European equity markets play an extremely important role for investors …
Consequently, European equity markets play an extremely important role for investors …
Three Essays on Equity Exchange-Traded Funds
F Osterhoff - 2016 - mediatum.ub.tum.de
Using data on German-listed equity ETFs and their underlying stocks, this thesis provides
empirical evidence on key ETF-market interdependencies. First, it shows that underlying …
empirical evidence on key ETF-market interdependencies. First, it shows that underlying …