Lawrence R. Glosten, Suresh Nallareddy, Yuan Zou. ETF Activity and Informational Efficiency of Underlying Securities. Management Science, 67(1):22-47, 2021. [doi]
@article{GlostenNZ21, title = {ETF Activity and Informational Efficiency of Underlying Securities}, author = {Lawrence R. Glosten and Suresh Nallareddy and Yuan Zou}, year = {2021}, doi = {10.1287/mnsc.2019.3427}, url = {https://doi.org/10.1287/mnsc.2019.3427}, researchr = {https://researchr.org/publication/GlostenNZ21}, cites = {0}, citedby = {0}, journal = {Management Science}, volume = {67}, number = {1}, pages = {22-47}, }