Price dynamics and liquidity of exchange-traded funds pdf
The Journal of Portfolio Management Manager Fund Selection Issue 2020 February 14, 2020 Using data on 1,312 US equity active mutual funds with $3.9 trillion in AUM, the Price Dynamics and Liquidity of Exchange-Traded Funds. exposure to an index at low cost as ETFs need not trade the underlying assets when facing In such synthetic ETFs, the fund does not hold the Dynamics of Investment and Firm Performance: Comparative Evidence from Manufacturing. Keywords: ETFs, stocks, volatility, mispricing, fund flow Price reversals are evidence of liquidity shocks (see, for example, on the dynamics of arbitrage.