The liquidity of active ETFs
Global Finance Journal(2021)
摘要
Active exchange traded funds (ETFs) are less liquid than their underlying portfolios. We attribute this finding, which contrasts with that for passive ETFs, to uncertainty about the future holdings of active ETFs. In addition, while diversification generally reduces firm-specific information asymmetry and improves portfolio liquidity, it impairs the liquidity of active ETFs, consistently with the substitution effect between diversification and liquidity documented in the literature. We show that the gap between active ETF and underlying liquidity varies cross-sectionally and over time and can be explained by differences in size and volume between ETFs and their underlying portfolio, by ETF age, and by ETF pricing errors.
更多查看译文
关键词
ETFs,Portfolio liquidity,Diversification
AI 理解论文
溯源树
样例
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要