Finance and Financial Management Commons^™

Three Essays On The Microstructure Of Exchange Traded Funds, Samique March

FIU Electronic Theses and Dissertations

Exchange traded funds (ETFs) have increased significantly in popularity since they were first introduced in 1993. However, there is still much that is unknown about ETFs in the extant literature. This dissertation attempts to fill gaps in the ETF literature by using three related essays. In these three essays, we compare ETFs to closed ended mutual funds (CEFs) by decomposing the bid-ask spread into its three components; we look at the intraday shape of ETFs and compare it to the intraday shape of equities as well as examine the co-integration factor between ETFs on the London Stock Exchange and the …

Liquidity, Governance And Adverse Selection In Asset Pricing, Sascha Strobl

FIU Electronic Theses and Dissertations

A plethora of recent literature on asset pricing provides plenty of empirical evidence on the importance of liquidity, governance and adverse selection of equity on pricing of assets together with more traditional factors such as market beta and the Fama-French factors. However, literature has usually stressed that these factors are priced individually. In this dissertation we argue that these factors may be related to each other, hence not only individual but also joint tests of their significance is called for.

In the three related essays, we examine the liquidity premium in the context of the finer three-digit SIC industry classification, …