This is a summary of links featured on Quantocracy on Monday, 07/31/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Academic Research Insight: Digging into ETF Trading Spreads [Alpha Architect]The article provides new empirical evidence on the state of market efficiencies in ETFs by studying the following questions: What is the magnitude of the ETF premiums across all US-listed ETFs and all underlying asset class and over time? In particular, what is the magnitude of true ETF premiums when stale NAVs are accounted for? What do these premiums depend on? What is the economic