ETFs’ high overnight returns: The early liquidity provider gets the worm
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DOI: 10.1016/j.finmar.2020.100563
Abstract: Abstract I examine the extent to which exchange-traded funds’ (ETFs) unusually high overnight returns are distorted by market microstructure effects; specifically, positive order imbalances and overnight increases in bid-ask spreads. Introducing a model that isolates… read more here.
Keywords: overnight returns; early liquidity; etfs high; order imbalances ... See more keywords