Short-lived arbitrage opportunities arise when prices adjust with a lag to new information.
They are toxic because they expose dealers to the risk of trading at stale quotes. Hence …

A breakdown of cross-market arbitrage activity could make markets more fragile and result in
price crashes. We provide suggestive evidence for this novel channel based on a high …

The purpose of this paper is to advance the understanding of the conditions that give rise to
flash crash contagion, particularly with respect to overlapping asset portfolio crowding. To …

We provide novel evidence that arbitrageurs use exchange-traded funds (ETFs) as an
avenue to circumvent short-sale constraints at the stock level. Using a large sample of US …

Mechanical positive-feedback rebalancing of Leveraged and Inverse Exchange Traded
Funds (LETFs) resembles the portfolio insurance strategies, which contributed to the stock …

This study finds that both contemporaneous and lagged ETF trading volumes in both
absolute and relative terms are significant contributors to the price efficiency of the …

We examine the informational efficiency of size-based US exchange traded funds (ETFs)
and comparable Center for Research in Security Prices portfolios. ETFs are better suited for …

This paper provides a new explanation for closed‐end fund (CEF) discounts and premiums
using the local martingale theory of asset price bubbles. This is a rational asset pricing …

Contagions among financial intermediaries have been shown to play a significant role in the
propagation of financial distress. Contagions among assets, however, have received less …

Abstract Exchange Traded Funds (ETFs), since their inception, are now taking a foothold in
emerging markets. The study measures price volatility in ETFs and their underlying stocks …