ETFs and information asymmetry of underlying securities: evidence on the volume-conditioned return autocorrelation
Author:
Affiliation:
1. Brooklyn College of the City University of New York, New York City, NY, USA
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00036846.2022.2139811
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1. Illiquidity and stock returns: cross-section and time-series effects
2. Exchange-Traded Funds and Real Investment
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4. Short interest, institutional ownership, and stock returns
5. Price discovery in emerging market ETFs
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