ETF arbitrage under liquidity mismatch

ETF Arbitrage Under Liquidity Mismatch - Search eLibrary :: SSRN

We study arbitrage in ETFs holding illiquid corporate bonds, focusing on authorized participants (APs) and their balance sheet space ...

These frictions arise more acutely in the corporate bond ETF setting (relative to equity ETFs where there is no liquidity mismatch) because the dual roles of ...

ETF Arbitrage Under Liquidity Mismatch - IDEAS/RePEc

A natural liquidity mismatch emerges when liquid exchange traded funds (ETFs) hold relatively illiquid assets. We provide a theory and empirical evidence ...

ETF Arbitrage Under Liquidity Mismatch by Kevin Pan, Yao Zeng

A natural liquidity mismatch emerges when liquid exchange traded funds (ETFs) hold relatively illiquid assets. We provide a theory and ...

ETF Arbitrage Under Liquidity Mismatch | Request PDF

Request PDF | ETF Arbitrage Under Liquidity Mismatch | A natural liquidity mismatch emerges when liquid exchange traded funds (ETFs) hold relatively ...

ETF Arbitrage Under Liquidity Mismatch - EconPapers - RePEc

By Kevin Pan and Yao Zeng; Abstract: A natural liquidity mismatch emerges when liquid exchange traded funds (ETFs) hold relatively illiquid assets. We.

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The anatomy of bond ETF arbitrage

The illiquid nature of the asset class implies that, compared with equity ETFs, there is a more severe liquidity mismatch between the assets and ...

Pan, K. and Zeng, Y. (2016) ETF Arbitrage under Liquidity Mismatch ...

Pan, K. and Zeng, Y. (2016) ETF Arbitrage under Liquidity Mismatch. Working Paper, Harvard University, Cambridge. https//ssrn.com/abstract=3723406.

How ETF Arbitrage Works - Investopedia

The arbitrage opportunity occurs when demand for the ETF increases or decreases the market price, or when liquidity concerns cause investors to ...

The Price of International Equity ETFs: The Role of Relative Liquidity

ETF arbitrage under liquidity mismatch, Working paper. [36] Pastor, L. and R. Stambaugh (2003). Liquidity risk and expected stock returns,. Journal of ...

Arbitrage and Liquidity: Evidence from a Panel of Exchange Traded ...

1Most domestic ETFs are registered as investment companies under the Investment Company Act of ... “ETF arbitrage under liquidity mismatch.” 26 ...

The Transformation of Corporate Bond Investors and Fragility - MTSU

However, when arbitrage is limited the liquidity of the ETF relative to the ... Arbitrage under liuquidity mismatch: Theory and evidence from authorized.

The anatomy of bond ETF arbitrage - SUERF

This helps close the arbitrage gap. Likewise, when ETF prices fall below NAV, APs exchange a “redemption” basket for ETF shares. The following ...

fixed-income-etfs-primary-market-participation-resilience-liquidity ...

For these types of funds, the `liquidity mismatch' between investors' ... Pan, Kevin and Zeng, Yao, ETF arbitrage under liquidity mismatch, December 2017, ESRB.

ETF arbitrage: Intraday evidence - ScienceDirect.com

Spreads increase just before arbitrage opportunities, consistent with a decrease in liquidity. Order imbalance increases as markets become more one-sided and ...

Yao Zeng's Website - Google Sites

. “ETF Arbitrage under Liquidity Mismatch,” with Kevin Pan. Revise and Resubmit, Journal of Finance. Arthur Warga Award for the Best Paper in Fixed Income ...

Municipal Bond ETFs: Liquidity Impact on the Municipal Bond Market

liquidity mismatch between funds and underlying securities in the funds. ... Pan, Kevin and Yao Zeng, “ETF Arbitrage under Liquidity Mismatch,” working paper,.

Steering a Ship in Illiquid Waters: Active Management of Passive ...

... ETFs holding less liquid securities because ETFs also aim to incentivize arbitrage activity. ... “ETF Arbitrage under Liquidity Mismatch.” Working Paper. Pastor, ...

New data behind the bond ETF primary process | BlackRock

“ETF Arbitrage under Liquidity Mismatch,” Forthcoming, Journal of Finance. 7. See Todorov, K. 2021. “The Anatomy of Bond ETF Arbitrage.” BIS Quarterly ...