The role of leveraged ETFs and option market imbalances on end-of-day price dynamics
Andrea Barbon, Heiner Beckmeyer, Andrea Buraschi, Mathis Moerke
| Year of publication: |
September, 2021
|
|---|---|
| Authors: | Barbon, Andrea ; Beckmeyer, Heiner ; Buraschi, Andrea ; Mörke, Mathis |
| Publisher: |
St. Gallen : School of Finance, University of St. Gallen |
| Subject: | Intraday Momentum | Cross-Sectional Momentum | Gamma Exposure | Option Market Maker | Leveraged ETF | Indexderivat | Index derivative | Optionsgeschäft | Option trading | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Derivat | Derivative |
freely available
| Extent: | 1 Online-Ressource (circa 77 Seiten) Illustrationen |
|---|---|
| Series: | Working papers on finance. - Sankt Gallen : [Verlag nicht ermittelbar], ZDB-ID 2252526-9. - Vol. no. 2021, 14 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Other identifiers: | 10.2139/ssrn.3925725 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012623523