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Do ETFs Increase the Commonality in Liquidity of Underlying Stocks?
12 references·6 citing·40 second hop
Do ETFs Increase the Commonality in Liquidity of Underlying Stocks? (2018)Do ETFs Increase the Commonality in Liqui…Can ETFs Increase Market Fragility? Effect of Information Linkages in ETF Markets (2017)Can ETFs Increase Market Frag…Passive investors, not passive owners (2016)Passive investors, not passiv…The effect of institutional ownership on firm transparency and information production (2015)The effect of institutional o…Do ETFs Increase Volatility? (2014)Do ETFs Increase Volatility?Connected Stocks (2014)Connected StocksMarket Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Liquidity and Autocorrelations in Individual Stock Returns (2006)Liquidity and Autocorrelation…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Some Tests of Specification f…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Index providers: Whales behind the scenes of ETFs (2023)Index providers: Whales behin…Short-Selling Equity Exchange Traded Funds and Its Effect on Stock Market Liquidity (2021)Short-Selling Equity Exchange…All that glitters is not gold. The rise of gaming in the COVID-19 pandemic (2020)All that glitters is not gold…The counterparty risk exposure of ETF investors (2019)The counterparty risk exposur…The Shift From Active to Passive Investing: Potential Risks to Financial Stability? (2018)The Shift From Active to Pass…Do ETFs Increase the Commonality in Liquidity of Underlying Stocks? (2017)Do ETFs Increase the Commonal…Specification Tests in Econometrics (1978)Another look at the instrumental variable estimation of error-components models (1995)Initial conditions and moment restrictions in dynamic panel data models (1998)Econometric Analysis of Cross Section and Panel Data (2001)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Continuous Auctions and Insider Trading (1985)Common risk factors in the returns on stocks and bonds (1993)Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity and stock returns: An alternative test (1998)Commonality in liquidity (2000)On Persistence in Mutual Fund Performance (1997)Does corporate social responsibility create shareholder value? The importance of long-term investors (2017)Is there a dark side to exchange traded funds? An information perspective (2017)The Big Three and corporate carbon emissions around the world (2021)Separation of Ownership and Control (1983)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Agency costs of free cash flow, corporate finance, and takeovers (1996)Anticompetitive Effects of Common Ownership (2018)Institutional shareholders and corporate social responsibility (2019)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Liquidity and leverage (2008)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Impact of Trades on Daily Volatility (2006)Behavioural Finance: A Review and Synthesis (2007)Liquidity biases in asset pricing tests☆ (2010)Corporate financing and investment decisions when firms have information that investors do not have (1984)Corporate Financing and Investment Decisions When Firms Have InformationThat Investors Do Not Have (1984)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)ESG performance and firm value: The moderating role of disclosure (2017)
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References

  • 1991Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations33,089 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
  • 2015The effect of institutional ownership on firm transparency and information production1,008 cited
  • 2016Passive investors, not passive owners975 cited
  • 2014Do ETFs Increase Volatility?686 cited
  • 2006Liquidity and Autocorrelations in Individual Stock Returns470 cited
  • 2014Connected Stocks374 cited
  • 2017Can ETFs Increase Market Fragility? Effect of Information Linkages in ETF Markets126 cited

Cited by

  • 2020All that glitters is not gold. The rise of gaming in the COVID-19 pandemic112 cited
  • 2017Do ETFs Increase the Commonality in Liquidity of Underlying Stocks?34 cited
  • 2018The Shift From Active to Passive Investing: Potential Risks to Financial Stability?

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32 cited
  • 2021Short-Selling Equity Exchange Traded Funds and Its Effect on Stock Market Liquidity31 cited
  • 2019The counterparty risk exposure of ETF investors24 cited
  • 2023Index providers: Whales behind the scenes of ETFs24 cited