ETF activity and informational efficiency of underlying securities

Lawrence Glosten, Suresh Nallareddy, Yuan Zou

Year of publication:	2021
Authors:	Glosten, Lawrence R. ; Nallareddy, Suresh ; Zou, Yuan
Published in:	Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 67.2021, 1, p. 22-47
Subject:	ETF \| informational efficiency \| co-movement \| systematic earnings \| post-earnings-announcement drift \| share lending \| Indexderivat \| Index derivative \| Informationseffizienz \| Informational efficiency \| Effizienzmarkthypothese \| Efficient market hypothesis \| Ankündigungseffekt \| Announcement effect \| Börsenkurs \| Share price \| Gewinn \| Profit

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