Liquidity risk and exchange-traded fund returns, variances, and tracking errors
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DOI: 10.1016/j.jfineco.2019.02.012
Abstract: Abstract We investigate the effect of exchange-traded fund (ETF) liquidity on ETF tracking errors, returns, and volatility in the US. We find that illiquid ETFs have large tracking errors. The effect is more pronounced when… read more here.
Keywords: exchange traded; liquidity; traded fund; tracking errors ... See more keywords