-to-market values. The AP’s costs of handling creations/redemptions are paid by liquidity-demanding ETF investors via premiums …

-specific information asymmetry and improves portfolio liquidity, the liquidity of active ETFs is adversely affected by diversification …, consistent with the substitution effect between diversification and liquidity documented in the literature. Furthermore, we show … the gap between active ETF and underlying liquidity varies cross-sectionally and over time and can be explained by …

We examine the impact of ETF ownership on the commonality in liquidity of underlying stocks, while controlling for …, respectively. Our results suggest that ETFs reduce investors' ability to diversify liquidity risk. …

We document the performance of liquidity proxies in ETFs. Most proxies are developed for use in equities. However, ETFs … stock liquidity, proxies such as Daily Spread, High-Low, Close-High-Low, and Amihud all do a good job of capturing changes …

prominent role in ETF liquidity provision, and results in elevated ETF failures-to-deliver. We propose a novel measure for … “operational shorting” and show it is associated with improved liquidity and greater price efficiency in the ETF underlying … securities. Higher retail trading activity and short-term return reversals are also consistent with liquidity-supplying motives …

The paper studies the effect of growing mutual fund and ETF ownership on the commonality in liquidity of underlying … bonds. Unpredictable liquidity needs of funds may give rise to correlated trading across underlying illiquid bonds. I … document that there is a positive and significant relationship between ETF ownership and liquidity commonality of investment …

Market liquidity is expected to facilitate arbitrage, which in turn should affect the liquidity of the assets traded by … that liquidity is an important determinant of the efficacy of the ETF arbitrage. For less liquid bond ETFs, Granger …-causality tests and impulse responses suggest that this relationship is stronger and more persistent, and liquidity spillovers are …

Market liquidity is expected to facilitate arbitrage, which in turn should affect the liquidity of the assets traded by … that liquidity is an important determinant of the efficacy of the ETF arbitrage. For less liquid bond ETFs, Granger …-causality tests and impulse responses suggest that this relationship is stronger and more persistent, and liquidity spillovers are …