Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - National Bureau of Economic Research (NBER) - 2014
underlying stocks. Using identification strategies based on the mechanical variation in ETF ownership, we present evidence that … stocks owned by ETFs exhibit significantly higher intraday and daily volatility. We estimate that an increase of one standard … arbitrage activity between ETFs and the underlying stocks. Consistent with this view, the effects are stronger for stocks with …