The new ETF Rule: Rethinking intraday indicative values

Marie-Eve Lachance

Finance Research Letters, 2021, vol. 39, issue C

Abstract: Exchange-traded funds (ETFs) currently disseminate Intraday Indicative Values (IIVs) every 15 seconds. The Securities and Exchange Commission (SEC) has removed this requirement in its recently adopted ETF rule, citing several accuracy problems with the measure. While retail investors might be left in the dark as a result, a more optimistic view would be to use the occasion to devise an improved “2.0 version” of IIVs. In that vein, this paper examines the possibility of reducing staleness by using prices based on midpoint quotes instead of last trades. The differences are quantified with an extensive set of daily ETF portfolios.

Keywords: Exchange-traded funds; Intraday valuation (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320300520

DOI: 10.1016/j.frl.2020.101557

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