JFQA Admin

JFQA Admin

ETF Sampling and Index Arbitrage

Jonathan Brogaard, Davidson Heath, and Da Huang ♦ This paper shows that exchange-traded funds (ETFs) “sample” their indexes, systematically underweighting or omitting illiquid index stocks. As a result, arbitrage activity between the ETF and its index has heterogeneous effects on underlying…

Does Disagreement Facilitate Informed Trading?

J. Anthony Cookson, Vyacheslav Fos, and Marina Niessner ♦ Using high-frequency disagreement data from the investor social network StockTwits, we find that greater unsophisticated disagreement facilitates informed buying and selling. During periods of overvaluation, the facilitating effect of disagreement on…