Search
Now showing items 1-2 of 2
Essays in financial economics
(Massachusetts Institute of Technology, 2020)
Chapter 1 constructs a theoretical model of an ETF. Conventional wisdom warns that exchange-traded funds (ETFs) harm stock price discovery, either by ``stealing'' single-stock liquidity or forcing stock prices to co-move. ...
Foxes in the hen-house : single stock traders hiding in ETF order flow
(Massachusetts Institute of Technology, 2019)
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 ...