The Cost of Trading Transparency: What We Know, What We Don't Know, and How We Will Know

被引：2

作者：

Gastineau, Gary L. ^{[1
]}

机构：

[1] ETF Consultants LLC, Summit, NJ USA

来源：

JOURNAL OF PORTFOLIO MANAGEMENT | 2008年 / 35卷 / 01期

关键词：

D O I：

10.3905/JPM.2008.35.1.72

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Results from several major studies of index composition changes indicate that trading transparency accounts for more than half the market impact cost of composition changes in the two most popular U. S. indices. The growth of transparent custom index exchange-traded funds (ETFs) and the introduction of actively managed ETFs with relatively transparent trading will increase investor exposure to trading transparency costs. Fortunately, researchers can quantify the performance penalty that trading transparency imposes on investors.

引用

页码：72 / +

页数：11

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