fragility of these ETFs. We focus on corporate bond ETFs and examine the role of authorized participants (APs) in ETF arbitrage …. In addition to their role as dealers in the underlying bond market, APs also play a unique role in arbitrage between the … conflict is small, liquidity mismatch reduces the arbitrage capacity of ETFs; as the conflict increases, an inventory …

-sample. These declines appear to be primarily the result of changes in the level of arbitrage activity in the market, with mutual … arbitrage activity …

-pair level indicate that ETF ownership significantly increases commonality. We show that greater arbitrage activities are … of Russell indexes, and ETF trading halts, to establish the causal effect of ETF ownership and the arbitrage mechanism …

We show that ETF arbitrage distorts the market reaction to fundamental shocks. We confirm this hypothesis by creating a … new measure of the intensity of arbitrage transactions at the individual stock level and using an event study analysis to … estimate the market reaction to economic shocks. Our measure of the intensity of arbitrage is the probability of simultaneous …

We study arbitrage in ETFs holding illiquid corporate bonds, focusing on authorized participants (APs) and their … sheet in both roles. We find that bond market illiquidity limits ETF arbitrage. Using novel AP-level balance sheet data, we … further find that large bond flow shocks to AP balance sheets also limit ETF arbitrage, leading to persistent relative …

arbitrage ex ante and reduce informational efficiency ex post. We focus on small arbitrageurs who target hard-to-short companies … implication, even extreme short-sale constraints need not constrain arbitrage, as is often assumed …

arbitrage ex ante and reduce informational efficiency ex post. We focus on small arbitrageurs who target hard-to-short companies … implication, even extreme short-sale constraints need not constrain arbitrage, as is often assumed …

We document the existence of a strategy designed to circumvent limits to arbitrage. Faced with short-sale constraints … even extreme short-sale constraints need not constrain arbitrage …

Estimates of mispricing, such as deviations from no-arbitrage relations, strongly comove across five financial markets …. One common component---the arbitrage gap---explains the majority of variability in mispricing estimates for futures …, Treasury securities, foreign exchange, and options. Prominent equity anomalies also comove significantly with the arbitrage gap …

fragility of these ETFs. We focus on corporate bond ETFs and examine the role of authorized participants (APs) in ETF arbitrage …. In addition to their role as dealers in the underlying bond market, APs also play a unique role in arbitrage between the … conflict is small, liquidity mismatch reduces the arbitrage capacity of ETFs; as the conflict increases, an inventory …