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Exchange-traded funds, persistence in tracking errors and information dissemination

Shin, Sangheon; Soydemir, Gökçe A. - In: Journal of multinational financial management 20 (2010) 4/5, pp. 214-234

Persistent link: https://www.econbiz.de/10009262116

The impact of rational and irrational sentiments of individual and institutional investors on DJIA and S&P500 index returns

Verma, Rahul; Baklaci, Hasan; Soydemir, Gökçe A. - In: Applied financial economics 18 (2008) 16/18, pp. 1303-1317

Persistent link: https://www.econbiz.de/10003779380

The impact of individual and institutional investor sentiment on the market price of risk

Verma, Rahul; Soydemir, Gökçe A. - In: The quarterly review of economics and finance : journal … 49 (2009) 3, pp. 1129-1145

Persistent link: https://www.econbiz.de/10003873855

Exchange-Traded Funds, Persistence in Tracking Errors and Information Dissemination

Shin, Sangheon - 2011

We estimate tracking errors from 26 exchange-traded funds (ETFs) utilizing three different methods and test their relative performance using Jensen's model. We find that tracking errors are significantly different from zero and display persistence. Based on Jensen's alpha, risk adjusted returns...

Persistent link: https://www.econbiz.de/10013122046