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Do ETFs Increase the Commonality in Liquidity of Underlying Stocks? · Study

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PreprintDo ETFs Increase the Commonality in Liquidity of Underlying Stocks?

Vikas Agarwal2018

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Preprintgreen2018

Do ETFs Increase the Commonality in Liquidity of Underlying Stocks?

Vikas Agarwal · Paul E. Hanouna · Rabih Moussawi · Christof W. Stahel

55 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Risk and Volatility Modeling

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References

1991Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations 2002Illiquidity and stock returns: cross-section and time-series effects 1986Asset pricing and the bid-ask spread 2008Market Liquidity and Funding Liquidity 2005Asset pricing with liquidity risk 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns 2015The effect of institutional ownership on firm transparency and information production 2016Passive investors, not passive owners

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2020All that glitters is not gold. The rise of gaming in the COVID-19 pandemic 2017Do ETFs Increase the Commonality in Liquidity of Underlying Stocks?2018The Shift From Active to Passive Investing: Potential Risks to Financial Stability?2021Short-Selling Equity Exchange Traded Funds and Its Effect on Stock Market Liquidity 2019The counterparty risk exposure of ETF investors 2023

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2017Do ETFs Increase the Commonality in Liquidity of Underlying Stocks?preprint · 10 shared references 2020Liquidity risk and exchange-traded fund returns, variances, and tracking errorsarticle · 6 shared references 2012Pricing of Liquidity Risks: Evidence from Multiple Liquidity Measuresarticle · 6 shared references 2006Liquidity and Asset Pricesarticle · 5 shared references 2011Understanding commonality in liquidity around the worldarticle · 5 shared references 2010The world price of liquidity riskarticle · 5 shared references

Details

Year2018

Typepreprint

Published2018-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations55

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.3001524

openalex_workW2808202768

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Index providers: Whales behind the scenes of ETFs