We investigate whether the spread of corporate debt contacts can be explained by their ultimate recovery rates. Using the actual realized recovery rates of defaulted debt instruments issued in the US from 1962 to 2007, we find that recovery rate is reflected in the spread at issuance, and that...

We examine the effects of daily return compounding, financing costs, and management factors on the performance of leveraged exchange-traded funds (LETFs) over various holding periods. We propose a new method to measure LETFs’ tracking errors that allows us to disentangle these effects. Our...

Purpose – The purpose of this paper is to provide a brief review of three strands of the literature on exchange-traded funds. Design/methodology/approach – The paper starts with a review of the history of the growth of exchange-traded funds and their characteristics. The paper then examines...