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Keywords: Price formation
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Journal Articles
Speed of convergence to market efficiency in the ETFs market
Available to Purchase
Journal:
Managerial Finance
Managerial Finance (2013) 39 (5): 457–475.
Published: 12 April 2013
.../methodology/approach The authors estimate the speed of convergence to market efficiency based on short‐horizon return predictability from past order flows of 273 ETFs that were traded every day on the NYSE Arca during the first six months of 2008, and compare the resulting price formation process...
