This article seeks to determine the migration of exchange-traded fund (ETF) liquidity and its factor constituents in the U.S. market over time, with the ultimate goal of making the ETF market more efficient and transparent. Using a set of factors commonly thought to impact liquidity, the authors...

This article presents an analysis of time dependent factors that influence the stability of beta in the ETF market. The results indicate that the calculated betas for ETFs are significantly dependent on the choice of time interval used in their calculation. In addition, daily and weekly return...

This article provides evidence and analysis to show that a MAC (multi-asset-class) diversified portfolio performed well in mean-variance space and under varying market conditions, including the very adverse 2008 market crash. The portfolio also delivered during the two bull phases in the full...

There are about 900 ETFs trading in the market, of which a large number appear to be duplicative in design and coverage. Some of them possibly serve as a tool for issuing firms to gain market share. We suspect that many of the newer funds have low liquidity, asynchronous trading, and wider...

This article documents significant dispersion in the beta estimates of exchange-traded funds as available on some leading financial websites. To the best of the authors' knowledge, this is the first systematic study of the dispersion of betas as seen on major finance websites. Almost 40 million...