dc.contributor.advisor | Haoxiang Zhu. | en_US |
dc.contributor.author | Ernst, Thomas(Thomas H.) | en_US |
dc.contributor.other | Sloan School of Management. | en_US |
dc.date.accessioned | 2020-01-08T19:39:50Z | |
dc.date.available | 2020-01-08T19:39:50Z | |
dc.date.copyright | 2019 | en_US |
dc.date.issued | 2019 | en_US |
dc.identifier.uri | https://hdl.handle.net/1721.1/123379 | |
dc.description | Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2019 | en_US |
dc.description | Cataloged from PDF version of thesis. | en_US |
dc.description | Includes bibliographical references (pages 50-51). | en_US |
dc.description.abstract | Conventional wisdom suggests that exchange traded funds (ETFs) protect uninformed investors from informed traders by diversifying holdings across a basket of securities. Contrary to this belief, I develop a theoretical model where investors with stock-specific information do trade in ETFs whenever the stock's weighting in the ETF is high or whenever the information asymmetry is large. As a result, ETF trades can allow price discovery about specific underlying stocks. High-frequency evidence from Sector SPDR ETFs supports the predictions of my model. I conclude that ETFs, especially narrowly constructed ETFs, are far from immune to single-stock informed trading. | en_US |
dc.description.statementofresponsibility | by Thomas Ernst. | en_US |
dc.format.extent | 51 pages | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Massachusetts Institute of Technology | en_US |
dc.rights | MIT theses are protected by copyright. They may be viewed, downloaded, or printed from this source but further reproduction or distribution in any format is prohibited without written permission. | en_US |
dc.rights.uri | http://dspace.mit.edu/handle/1721.1/7582 | en_US |
dc.subject | Sloan School of Management. | en_US |
dc.title | Foxes in the hen-house : single stock traders hiding in ETF order flow | en_US |
dc.title.alternative | Single stock traders hiding in exchange traded funds order flow | en_US |
dc.type | Thesis | en_US |
dc.description.degree | S.M. in Management Research | en_US |
dc.contributor.department | Sloan School of Management | en_US |
dc.identifier.oclc | 1132234251 | en_US |
dc.description.collection | S.M.inManagementResearch Massachusetts Institute of Technology, Sloan School of Management | en_US |
dspace.imported | 2020-01-08T19:39:46Z | en_US |
mit.thesis.degree | Master | en_US |
mit.thesis.department | Sloan | en_US |