ETFs’ two‐sided trading costs and order imbalances
本文提出了一个包含溢价和价差的ETF综合交易成本度量，分别从买方和卖方计算，发现订单不平衡会增加交易成本并导致溢价和折价。
Abstract This paper proposes an integrated trading cost measure for exchange‐traded funds (ETFs) that includes premiums and spreads. The measure is computed separately for buyers and sellers as the distance between the ETF's bid/ask prices and a new measure of intraday intrinsic value constructed with the ETF's daily holdings. The two‐sided measure shows that order imbalances increase trading costs in the direction of the imbalance, bias midpoint quotes, and result in observed premiums and discounts. It also provides a link between these higher trading costs and the need for authorized participants to pass through the costs associated with primary market activity.