The Value of ETF Liquidity

Khomyn, Marta; Putniņš, Tālis J.; Zoican, Marius

doi:10.2139/ssrn.3561531

Cited by 6 publications

(3 citation statements)

References 50 publications

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“…Thus, they can charge lower fees. At the same time, due to their large clientele, broad-based ETFs are a catalyst of significant trading volume, which constitutes a source of liquidity that investors value (Khomyn, Putniņš, and Zoican, 2020). Their economies of scale create barriers to entry for new contenders.…”

Section: Figure 4 Segmentation In the Etf Marketmentioning

confidence: 99%

Competition for Attention in the ETF Space

Ben‐David

Franzoni

Kim

et al. 2022

The Review of Financial Studies

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The interplay between investors’ demand and providers’ incentives has shaped the evolution of exchange-traded funds (ETFs). While early ETFs invested in broad-based indexes and therefore offered diversification at low cost, more recent products track niche portfolios and charge high fees. Strikingly, over their first 5 years, specialized ETFs lose about 30% (risk-adjusted). This underperformance cannot be explained by high fees or hedging demand. Rather, it is driven by the overvaluation of the underlying stocks at the time of the launch. Our results are consistent with providers catering to investors’ extrapolative beliefs by issuing specialized ETFs that track attention-grabbing themes.

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Section: Figure 4 Segmentation In the Etf Marketmentioning

confidence: 99%

Competition for Attention in the ETF Space

Ben‐David

Franzoni

Kim

et al. 2022

The Review of Financial Studies

View full text Add to dashboard Cite

show abstract

“…16 α i is a time-invariant ETF fixed effect, and BAN t is an indicator variable that takes the value of 1 on the 2008 short-sale ban days (Sept. 18 to Oct. 8), and 0 otherwise. 15 Khomyn, Putnins, and Zoican (2020) show that highly liquid ETFs like the Spider are able to charge higher management fees due to their relatively superior liquidity. We use standard errors that are clustered by individual ETF and time when considering a panel of ETFs, and Newey and West (1987) standard errors when considering just a single series.…”

Section: B Etf Short Salesmentioning

confidence: 99%

Section: B Etf Short Salesmentioning

confidence: 99%

Short-Selling Equity Exchange Traded Funds and Its Effect on Stock Market Liquidity

Karmaziene¹,

Sokolovski

2021

J. Financ. Quant. Anal.

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We examine short selling of equity exchange traded funds (ETFs) using the 2008 short-sale ban. Contrasting the previously documented contractions in bearish strategies during the ban, we find a significant increase in short sales of the largest, most liquid ETF, the S&P 500 Spider. We offer evidence suggesting that this upsurge was driven primarily by investors circumventing the ban. We show that the ban’s detrimental effect on stock liquidity was around 30% less severe for the Spider’s constituents. Our results suggest that ETF shorts can substitute for short sales of individual stocks, thereby alleviating short-sale constraints’ adverse effect on liquidity.

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Research on the Market Structure Visualization of Chinese High-Liquidity Equity ETFs Based on the Affinity Propagation Algorithm

Wang,

Xu,

2024

Proceedings of the 2024 16th International Conference on Machine Learning and Computing

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The Value of ETF Liquidity

Cited by 6 publications

References 50 publications

Competition for Attention in the ETF Space

Competition for Attention in the ETF Space

Short-Selling Equity Exchange Traded Funds and Its Effect on Stock Market Liquidity

Research on the Market Structure Visualization of Chinese High-Liquidity Equity ETFs Based on the Affinity Propagation Algorithm

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