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초록
영어
This paper investigates the e ect of the ETF illiquidity on the ETF tracking error, return, and volatility. Both ETF illiquidity and ETF tracking errors are positively related and are persistent over time. The empirical tests of the liquidity adjusted capital asset pricing model show that illiquid ETFs tend to be more sensitive to underlying index returns or ETF market liquidity, and a positive liquidity premium exists in the US ETF markets. Further, I show that an ETF variance is typically larger than its NAV variance when the ETF is not actively traded. This result con rms that illiquid ETFs are much riskier when market liquidity declines sharply.
목차
Abstract
1. Introduction
2. ETF data and variables
2.1. Exchange traded fund data
2.2. Liquidity measure
2.3. Tracking errors
3. The e ect of illiquidity on ETF tracking errors
3.1. Arbitrage activity of authorized participants
3.2. ETF tracking errors and illiquidity
3.3. Panel regression
3.4. Empirical results
4. The e ect of liquidity on ETF returns
4.1. Liquidity adjusted asset pricing model
4.2. Portfolio construction
4.3. Liquidity risk
4.4. Liquidity premium
5. The liquidity e ect on volatility
5.1. Nontrading probability and variance di erence
5.2. Nontrading probability and the variance
5.3. Cross-sectional regression of variance di erence
6. Conclusion
Appendices
References
1. Introduction
2. ETF data and variables
2.1. Exchange traded fund data
2.2. Liquidity measure
2.3. Tracking errors
3. The e ect of illiquidity on ETF tracking errors
3.1. Arbitrage activity of authorized participants
3.2. ETF tracking errors and illiquidity
3.3. Panel regression
3.4. Empirical results
4. The e ect of liquidity on ETF returns
4.1. Liquidity adjusted asset pricing model
4.2. Portfolio construction
4.3. Liquidity risk
4.4. Liquidity premium
5. The liquidity e ect on volatility
5.1. Nontrading probability and variance di erence
5.2. Nontrading probability and the variance
5.3. Cross-sectional regression of variance di erence
6. Conclusion
Appendices
References
저자정보
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