TY - JOUR T1 - The Truths About ETF Liquidity and Pricing JF - ETFs and Indexing SP - 98 LP - 100 VL - 2001 IS - 1 AU - Kevin. McNally Y1 - 2001/09/21 UR - http://guides.pm-research.com/content/2001/1/98.abstract N2 - Investors often use traditional measures to gauge liquidity and mispricing risk in exchange-traded funds. However, since the specialist or market maker can create new shares or redeem old shares of an ETF on a daily basis, historical measures can be deceiving. In essence, an ETF's liquidity is equal to the liquidity of the underlying basket of stocks. A recent study attempts to prove this theory and shows that liquidity is much higher than many believe and that mispricing risk is minimal. ER -