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Fulkerson, Jon A.; Jordan, Susan D.; Riley, Timothy B. - In: The journal of fixed income 23 (2014) 3, pp. 50-63

Persistent link: https://www.econbiz.de/10010388890

Fulkerson, Jon A. - 2013

We study the persistence of bond ETF premiums and discounts. Following a day of high or low premiums or discounts over …

Persistent link: https://www.econbiz.de/10013081117

Underlying Bond Return Predictability by ETF Returns

Hao, Xiaoting - 2020

This paper investigates whether ETF returns lead the returns of underlying bonds and similar style bond funds. Bond … predicted, we find that ETF returns predict its own NAV returns and aggregated ETF returns for each bond also predict the … underlying bond returns on a monthly basis. We show that bond liquidity is the determining factor of the predictability and the …

Persistent link: https://www.econbiz.de/10012837666

Forecasting holding periods for Leveraged ETFs using decay thresholds : theory and applications

Trainor, William J.; Carroll, Mark G. - In: Inventi impact: microfinance & banking (2013) 3, pp. 179-190

Persistent link: https://www.econbiz.de/10010193177

Effects of Index-Fund Investing on Commodity Futures Prices

Hamilton, James D. - 2014

The last decade brought substantial increased participation in commodity markets by index funds that maintain long positions in the near futures contracts. Policy makers and academic studies have reached sharply different conclusions about the effects of these funds on commodity futures prices....

Persistent link: https://www.econbiz.de/10013059085