This article seeks to determine the migration of exchange-traded fund (ETF) liquidity and its factor constituents in the U.S. market over time, with the ultimate goal of making the ETF market more efficient and transparent. Using a set of factors commonly thought to impact liquidity, the authors...

A very great amount of thought has been given to the selection of this topic. Basically, here we are concerned with the problem of dealing with higher order Ricatti equation. The amount of work and the number of variables used in various calculations in a power plant is very large and the...

In this paper, the marginal effects of changes (due to non-stationarity or estimation errors) in the REIT-stock risk premium and the REIT-stock correlation on the optimal portfolio asset mix of REITs, stocks, and bonds are determined. Employing a mean variance utility function and considering...

This article presents an analysis of time dependent factors that influence the stability of beta in the ETF market. The results indicate that the calculated betas for ETFs are significantly dependent on the choice of time interval used in their calculation. In addition, daily and weekly return...

This paper brings to light and discusses a systemic issue in the calculation and display of relative return information as currently seen on some of the most prominent finance websites; income-generating events such as dividends and interest are not included in relative return calculations and...

The paper predicted in 1999 that the growth rates of technology companies was overstated. Once the executives of these companies would exercise their stock options, the blending of primary and diluted EPS would lower the estimated growth rates. Valuations would subsequently get adjusted...