Liquidity risk and exchange-traded fund returns, variances, and tracking errors

Author:

Bae Kyounghun,Kim Daejin

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference55 articles.

1. Asset pricing with liquidity risk;Acharya;Journal of Financial Economics,2005

2. Conventional mutual index funds versus exchange-traded funds;Agapova;Journal of Financial Markets,2011

3. Illiquidity and stock returns: cross-section and time-series effects;Amihud;Journal of Financial Markets,2002

4. Asset pricing and the bid-ask spread;Amihud;Journal of Financial Economics,1986

5. The role and activities of authorized participants of exchange-traded funds;Antoniewicz;ICI Research Perspective,2015

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2. Liquidity risk, return performance, and tracking error: Synthetic vs. Physical ETFs;Journal of International Financial Markets, Institutions and Money;2023-12

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5. The Journey of an Exchange Traded Fund: Becoming a Unicorn or Zombie;International Finance Review;2023-01-17

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