This article examines how the introduction of an ETF replicating a stock index impacts on the liquidity of the … underlying stocks when the ETF market involves liquidity providers (LPs). We find that index stock spreads decline, relative to … those of non-index stocks, after the introduction of the ETF but this liquidity improvement is not driven by changes in …

This article examines how the inception of an ETF market impacts several dimensions of the liquidity of the ETF …-underlying-index stocks. In contrast with previous research, our evidence is based on an ETF market where liquidity providers (LPs) act as … because some large liquidity traders exit the underlying stocks’ market for the ETF market. Some statistics suggest that those …

This article examines how the inception of an ETF market impacts several dimensions of the liquidity of the ETF …-underlying-index stocks. In contrast with previous research, our evidence is based on an ETF market where liquidity providers (LPs) act as … because some large liquidity traders exit the underlying stocks’ market for the ETF market. Some statistics suggest that those …

We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as … investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover …, is an economically significant indicator of long-term returns. Then, we show that liquidity, as a characteristic, is not …

. The return impact of fund flows is stronger when funds embrace liquidity risk, when market liquidity is low, and when … funding liquidity, as measured by the Treasury-Eurodollar spread, aggregate hedge fund flows, and prime broker stock returns …, and no manager capital co-invested are more likely to take on excessive liquidity risk. These results resonate with the …

hedge funds provide liquidity in asset markets …