RT Journal Article SR Electronic T1 The Truths About ETF Liquidity and Pricing JF ETFs and Indexing FD Institutional Investor Journals SP 98 OP 100 VO 2001 IS 1 A1 Kevin. McNally YR 2001 UL http://guides.pm-research.com/content/2001/1/98.abstract AB Investors often use traditional measures to gauge liquidity and mispricing risk in exchange-traded funds. However, since the specialist or market maker can create new shares or redeem old shares of an ETF on a daily basis, historical measures can be deceiving. In essence, an ETF's liquidity is equal to the liquidity of the underlying basket of stocks. A recent study attempts to prove this theory and shows that liquidity is much higher than many believe and that mispricing risk is minimal.