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Two APs Are Better Than One: ETF Mispricing And Primary Market Participation.pdf

Gorbatikov_and_Sikorskaya_2022.pdf
Preview of Two APs Are Better Than One: ETF Mispricing and Primary Market Participation
🔗 Source: staisiya.github.io
📊 Size: 1.01 MB
📄 Pages: 79 pages
⬇️ Downloads: 76

Summary

Exchange-traded funds (ETFs) rely on arbitrageurs to correct price deviations from their fair value, with authorized participants (APs) playing a key role. Using novel regulatory filings, the US ETF-AP network is described as having a dense core and sparse periphery, with highly concentrated creation and redemption volumes. The level of mispricing in US equity ETFs is negatively related to the fund's network diversity, especially during times of high market volatility. Funds with more shared APs exhibit stronger mispricing comovement, and diverse networks help mitigate the effect of shocks to AP-specific arbitrage costs. AP balance sheet usage costs are also highlighted as important in ETF markets.

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Description

Exchange-traded funds (ETFs) rely on arbitrageurs to correct price deviations from their fair value, with authorized participants (APs) playing a key role.

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  • File Format: PDF
  • File Size: 1.01 MB
  • Pages: 79
  • Language: EN
  • Total Downloads: 76
  • Last Updated: 2 weeks ago

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