Arbitrage, Liquidity, and the Valuation of Exchange Traded Funds
Author:
Publisher
Wiley
Subject
General Economics, Econometrics and Finance,Finance
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1468-0416.2008.00144.x/fullpdf
Reference20 articles.
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3. Asset pricing and the bid-ask spread;Amihud;Journal of Financial Economics,1986
4. Illiquidity and stock returns: Cross-section and time-series effects;Amihud;Journal of Financial Markets,2002
5. Market microstructure and asset pricing: On the compensation for illiquidity in stock returns;Brennan;Journal of Financial Economics,1996
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