Caginalp, Gunduz; DeSantis, Mark; Sayrak, Akin - In: Journal of Econometrics 183 (2014) 2, pp. 193-201
We investigate the price dynamics of large market-capitalization U.S. equity exchange-traded funds (ETFs) in order to uncover trader motivations and strategy. We show that prices of highly liquid ETFs can deviate significantly from their daily net asset values. By adjusting for changes in...
