Transaction Costs

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How Does ETF Liquidity Affect ETF Returns, Volatility, and Tracking Error?

By |2021-01-11T10:48:17-05:00January 11th, 2021|Transaction Costs, Research Insights, Basilico and Johnsen, Academic Research Insight, ETF Investing|

Liquidity risk and exchange-traded fund returns, variances, and tracking errors Kyounghun Bae, Daejin KimJournal of Financial EconomicsA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our [...]

Mutual Fund Trading When No One Is Watching: It’s Not Pretty

By |2020-11-30T14:10:08-05:00November 30th, 2020|Transaction Costs, Research Insights, Basilico and Johnsen, Academic Research Insight|

Trading out of sight: An analysis of cross-trading in mutual fund families Alexander Eisele, Tamara Nefedova, Gianpaolo Parise, Kim Peijnenburg, Journal of Financial EconomicsA version of this paper can be found hereWant to read our summaries [...]

The market impact of rebalancing factor investing strategies

By |2019-12-23T13:12:33-05:00December 23rd, 2019|Transaction Costs, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Transaction Costs of Factor-Investing Strategies Feifei Li, Tzee-Man Chow, Alex Pickard & Yadwinder Garg Financial Analysts Journal A version of this paper can be found here Want to read our summaries of academic finance papers? Check [...]