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How quickly is temporary market inefficiency removed?

Marshall, Ben R. - In: The quarterly review of economics and finance : journal … 49 (2009) 3, pp. 917-930

Persistent link: https://www.econbiz.de/10003873650

ETF arbitrage : intraday evidence

Marshall, Ben R.; Nguyen, Nhut; Visaltanachoti, Nuttawat - In: Journal of banking & finance 37 (2013) 9, pp. 3486-3498

Persistent link: https://www.econbiz.de/10010126380

Sellt he rumour, buy the fact?

Marshall, Ben R.; Visaltanachoti, Nuttawat; Cooper, … - In: Accounting and finance : journal of the Accounting … 54 (2014) 1, pp. 237-249

Persistent link: https://www.econbiz.de/10010342391

Are individual stock returns predictable?

Zeng, Hui; Marshall, Ben R.; Nguyen, Nhut; … - In: Australian journal of management 47 (2022) 1, pp. 135-162

Persistent link: https://www.econbiz.de/10012801601

Liquidity spillover between ETFs and their constituents

Son, D. Pham; Marshall, Ben R.; Nguyen, Nhut; … - In: International review of economics & finance : IREF 88 (2023), pp. 723-747

Persistent link: https://www.econbiz.de/10014474669

ETF Arbitrage : Intraday Evidence

Marshall, Ben R. - 2013

We use two extremely liquid S&P 500 ETFs to analyze the prevailing trading conditions when mispricing allowing arbitrage opportunities is created. While these ETFs are not perfect substitutes, we show that their minor differences are not responsible for the mispricing. Spreads increase just...

Persistent link: https://www.econbiz.de/10013094137

ETF arbitrage: Intraday evidence

Marshall, Ben R.; Nguyen, Nhut H.; Visaltanachoti, Nuttawat - In: Journal of Banking & Finance 37 (2013) 9, pp. 3486-3498

We use two extremely liquid S&P 500 ETFs to analyze the prevailing trading conditions when mispricing allowing arbitrage opportunities is created. While these ETFs are not perfect substitutes, our correlation and error correction results suggest investors view them as close substitutes. Spreads...

Persistent link: https://www.econbiz.de/10010682592