We examine liquidity commonality in commodity futures markets. Using data from 16 agricultural, energy, industrial metal, precious metal, and livestock commodities, we show there is a strong systematic liquidity factor in commodities. Liquidity commonality was present in 1997 - 2003 when...

We use two extremely liquid S&P 500 ETFs to analyze the prevailing trading conditions when mispricing allowing arbitrage opportunities is created. While these ETFs are not perfect substitutes, we show that their minor differences are not responsible for the mispricing. Spreads increase just...

Frontier markets, which are countries that have not yet reached emerging market status, have been shown to provide diversification benefits for international investors. However, many stocks in these markets are thinly traded so liquidity is an important consideration. We investigate which...

We show that stop-loss rules increase the returns to investment in stocks with lottery features. These stocks, which are popular with individual investors, typically have sporadic big gains and frequent small losses. However, stop-loss rules can reduce losses and allow investors to receive the...

We consider the degree to which climate disasters influence investor behavior. Using data on events such as hurricanes and floods, we show that disasters prompt investors to pay more attention to socially responsible investing and invest more in mutual funds with an environmental focus....

ETF sponsors promote ETFs as having superior liquidity than their constituents because of ETFs' liquidity in the open market and the underlying stocks' liquidity through the creation/redemption mechanism. We find a liquidity connection between the ETF and its underlying assets suggesting the...

We document the performance of liquidity proxies in ETFs. Most proxies are developed for use in equities. However, ETFs have lower asymmetric information, more algorithmic trading, and an active primary market where units are frequently created and redeemed. Using a comprehensive database of...

Monthly equity returns in countries with strong governance lead monthly equity returns in countries with weak governance. This predictability is robust to alternative ways of measuring country governance, and holds in and out-of-sample at both the group and individual country levels. Strong...

The equity market is more liquid under Democratic than Republican presidencies. This is apparent at the market level but is stronger in small, value stocks and in industries that are more sensitive to Democratic presidents. The effect is robust to different liquidity measures and time periods....

Active ETFs are less liquid than their underlying portfolios. This finding, which contrasts with that for passive ETFs, is attributed to uncertainty of future holdings of active ETFs. In addition, while diversification generally reduces firm-specific information asymmetry and improves portfolio...