. The relatively recent Behavioral Finance theory addresses in particular the emergence of systematic distortions in asset … strategies that use the insights of Behavioral Finance and exploit systematic market distortions should generate significant … by far not as systematic and predictable as the Behavioral Finance theory suggests. Applying multiple linear regression …

individual stocks are predicted to become illiquid as ETFs become widely available. Using ETF trading and holdings data between … for more diversified ETFs. The increase in the adverse selection costs of individual stocks is transferred to the ETF … dynamics between stock-level and ETF-level adverse selection casts a doubt whether uninformed investors can avoid the adverse …