Liquidity and Market Efficiency: Cash Corporates, ETFs, and CDX
Vadim Konstantinovsky, Stephen A. Laipply and Bruce D. Phelps
The Journal of Beta Investment Strategies Spring 2016, 6 (4) 88-102; DOI: https://doi.org/10.3905/jii.2016.6.4.088
Vadim Konstantinovsky
is a director at Barclays Capital, Inc. in New York, NY.
Stephen A. Laipply
is a managing director at BlackRock, Inc. in San Francisco, CA.
Bruce D. Phelps
is a managing director at Barclays Capital, Inc. in New York, NY.
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In this issue
The Journal of Beta Investment Strategies
Vol. 6, Issue 4
Spring 2016
Liquidity and Market Efficiency: Cash Corporates, ETFs, and CDX
Vadim Konstantinovsky, Stephen A. Laipply, Bruce D. Phelps
The Journal of Beta Investment Strategies Feb 2016, 6 (4) 88-102; DOI: 10.3905/jii.2016.6.4.088
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- Article
- Abstract
- PRICE INERTIA AS A MEASURE OF LIQUIDITY
- RELATIVE LIQUIDITY: TES
- PRICE INERTIA AND RELATIVE LIQUIDITY—MONTHLY RETURNS
- COMPARING DIFFERENT LIQUIDITY ENVIRONMENTS
- PRICE INERTIA AND RELATIVE LIQUIDITY—DAILY RETURNS
- CASH BONDS, ETFs, AND CDX
- RELATIVE INFORMATIONAL EFFICIENCY: CASH BONDS, ETFs, AND CDX
- CONCLUSION
- ENDNOTES
- REFERENCES
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