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Year of publication
Subject
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Index derivative 998 Indexderivat 998 Investmentfonds 339 Investment Fund 336 USA 333 United States 332 Volatilität 209 Volatility 208 Portfolio selection 196 Portfolio-Management 196 Börsenkurs 186 Share price 186 Anlageverhalten 174 Behavioural finance 174 Capital income 143 Kapitaleinkommen 143 Welt 118 World 118 Aktienindex 115 Stock index 115 Theorie 73 Theory 73 Estimation 62 Schätzung 62 ETFs 60 Securities trading 58 Wertpapierhandel 58 ETF 54 Indexfonds 48 Kapitalanlage 45 Arbitrage 44 Index futures 44 Index-Futures 44 Liquidity 44 Financial investment 40 Market liquidity 38 Marktliquidität 38 Commodity derivative 37 Deutschland 37 Germany 37
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Online availability
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Free 354 Undetermined 257
Type of publication
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Article 552 Book / Working Paper 450 Journal 3
Type of publication (narrower categories)
All
Article in journal 528 Aufsatz in Zeitschrift 528 Graue Literatur 115 Non-commercial literature 115 Arbeitspapier 102 Working Paper 102 Hochschulschrift 29 Thesis 25 Aufsatz im Buch 22 Book section 22 Ratgeber 16 Guidebook 12 Handbook 7 Handbuch 7 Collection of articles of several authors 6 Collection of articles written by one author 6 Sammelwerk 6 Sammlung 6 Commentary 4 Kommentar 4 Glossar enthalten 3 Glossary included 3 Aufsatzsammlung 2 Case study 2 Conference paper 2 Fallstudie 2 Konferenzbeitrag 2 Lehrbuch 2 Amtsdruckschrift 1 Biografie 1 Biography 1 Einführung 1 Government document 1 Market information 1 Marktinformation 1 Systematic review 1 Übersichtsarbeit 1
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Language
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English 924 German 84 French 3 Polish 1
Author
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Pies, Ingo 22 Moussawi, Rabih 16 Rompotis, Gerasimos G. 16 Chang, Chia-Lin 15 McAleer, Michael 15 Ivanov, Stoyu I. 14 Madhavan, Ananth Narayan 14 Ben-David, Itzhak 12 Leung, Tim 11 Franzoni, Francesco 10 Marszk, Adam 10 Agrrawal, Pankaj 8 Fulkerson, Jon A. 8 Lechman, Ewa 8 Sobczyk, Aleksander 8 Tang, Hongfei 8 Tse, Yiuman 8 Xu, Liao 8 Blitz, David 7 Glauben, Thomas 7 Jordan, Susan D. 7 Madhavan, Ananth 7 Marshall, Ben R. 7 Röder, Klaus 7 Schmidhammer, Christoph 7 Visaltanachoti, Nuttawat 7 Will, Matthias Georg 7 Xu, Xiaoqing Eleanor 7 Abner, David J. 6 Avellaneda, Marco 6 Chung, Huimin 6 Huij, Joop 6 Tuzun, Tugkan 6 Yin, Xiangkang 6 Chen, Jo-hui 5 Clark, John M. 5 Deville, Laurent 5 Frazzini, Andrea 5 Hamilton, James D. 5 Hsieh, Tai-Lin 5
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Institution
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National Bureau of Economic Research 6 Verlag Dr. Kovač 3 Campus Verlag 2 FinanzBuch Verlag 2 Stiftung Warentest 2 Wiley-VCH 2 Books on Demand GmbH <Norderstedt> 1 Bundesverband der Deutschen Volksbanken und Raiffeisenbanken 1 Fields Institute for Research in Mathematical Sciences <Toronto> 1 Helmut-Schmidt-Universität 1 Hongkong / Securities and Futures Commission 1 Nomos Verlagsgesellschaft 1 Shaker Verlag 1 Springer-Verlag GmbH 1 Steinbeis-Hochschule Berlin 1 Verlagshaus Monsenstein & Vannerdat OHG 1 Wissenschaftlicher Verlag Berlin 1
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Published in...
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Diskussionspapier / Lehrstuhl für Wirtschaftsethik, Martin-Luther-Universität Halle-Wittenberg 20 The journal of investing 20 The journal of trading 15 Financial services review : the journal of individual financial management 14 International review of financial analysis 13 The journal of futures markets 13 Journal of banking & finance 12 The journal of asset management 12 The review of financial studies 12 The journal of alternative investments 10 Working paper / National Bureau of Economic Research, Inc. 10 Applied economics letters 9 Journal of investment management : JOIM 8 Journal of risk and financial management : JRFM 8 The North American journal of economics and finance : a journal of financial economics studies 8 Corporate finance : Finanzierung, Kapitalmarkt, Bewertung, Mergers & Acquisitions 7 Econometric Institute research papers 7 Managerial finance 7 The journal of portfolio management : a publication of Institutional Investor 7 Applied economics 6 Applied financial economics 6 Bloomberg financial series 6 Discussion paper / Centre for Economic Policy Research 6 International review of economics & finance : IREF 6 Investment management and financial innovations 6 Journal of financial economics 6 NBER working paper series 6 Pacific-Basin finance journal 6 Research paper series / Swiss Finance Institute 6 Schriftenreihe Finanzmanagement 6 Global finance journal 5 International journal of economics and finance 5 Journal of financial and quantitative analysis : JFQA 5 NBER Working Paper 5 Review of Pacific Basin financial markets and policies 5 Review of finance : journal of the European Finance Association 5 The financial review : the official publication of the Eastern Finance Association 5 The journal of fixed income 5 The journal of wealth management 5 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 5
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Source
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ECONIS (ZBW) 1,001 USB Cologne (EcoSocSci) 4
Showing 1 - 50 of 1,005
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Further evidence on calendar anomalies
Hsu, Yuan-Teng; Koedijk, Kees; Liu, Hung-Chun; Wang, … - In: European financial management : the journal of the … 28 (2022) 2, pp. 545-566
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Liquidity provision to leveraged ETFs and equity options rebalancing flows : evidence from end-of-day stock prices
Barbon, Andrea; Beckmeyer, Heiner; Buraschi, Andrea; … - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013192393
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The two sides of the corporate bond ETF liquidity transformation
Dannhauser, Caitlin D.; Karmaziene, Egle - 2022
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Rebalancing of exchange traded funds in stock market using option trading strategies
Elegeti, Vinaykumar - In: Ekonomia i prawo 20 (2021) 3, pp. 497-511
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COVID-19 pandemic and the crude oil market risk : hedging options with non-energy financial innovations
Salisu, Afees A.; Obiora, Kingsley - In: Financial innovation : FIN 7 (2021), pp. 1-19
This study examines the hedging effectiveness of financial innovations against crude oil investment risks, both before and during the COVID-19 pandemic. We focus on the non-energy exchange traded funds (ETFs) as proxies for financial innovations given the potential positive correlation between...
Persistent link: https://ebtypo.dmz1.zbw/10012511784
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A random forests approach to predicting clean energy stock prices
Sadorsky, Perry A. - In: Journal of risk and financial management : JRFM 14 (2021) 2/48, pp. 1-20
Climate change, green consumers, energy security, fossil fuel divestment, and technological innovation are powerful forces shaping an increased interest towards investing in companies that specialize in clean energy. Well informed investors need reliable methods for predicting the stock prices...
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Competition for attention in the ETF space
Ben-David, Itzhak; Franzoni, Francesco; Kim, Byungwook; … - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012421474
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Global realignment in financial market dynamics : evidence from ETF networks
Billio, Monica; Lo, Andrew W.; Pelizzon, Loriana; … - 2021
The centrality of the United States in the global financial system is taken for granted, but its response to recent political and epidemiological events has suggested that China now holds a comparable position. Using minute-by-minute data from 2012 to 2020 on the financial performance of twelve...
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Beta-adjusted covariance estimation
Boudt, Kris; Dragun, Kirill; Sauri, Orimar; Vanduffel, … - 2021
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Passive funds affect prices: evidence from the most ETF-dominated asset classes
Todorov, Karamfil - 2021
This paper studies exchange-traded funds' (ETFs) price impact in the most ETF-dominated asset classes: volatility (VIX) and commodities. I propose a modelindependent approach to replicate the VIX futures contract. This allows me to isolate a non-fundamental component in VIX futures prices that...
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Return differences between DAX ETFs and the benchmark DAX
Schmidhammer, Christoph - 2021
For the DAX index market, this paper analyses the development of return differences between exchange traded funds (ETFs) and the DAX index from the perspective of long-term investors. The newly introduced methodology provides the opportunity to continuously identify long-term costs of passively...
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Do ETFs increase liquidity?
Sağlam, Mehmet; Tuzun, Tugkan; Wermers, Russ - 2021
This paper investigates the impact of exchange-traded funds (ETFs) on the liquidity of their underlying stockholdings. Using a difference-in-differences methodology for large changes in the index weights of stocks in the S&P 500 and NASDAQ 100 indexes, we find that increases in ETF ownership are...
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Do ETFs increase the commonality in liquidity of underlying stocks?
Agarwal, Vikas; Hanouna, Paul; Moussawi, Rabih; Stahel, … - 2021
We examine the impact of ETF ownership on the commonality in liquidity of underlying stocks, while controlling for other institutional ownership. Analyses using aggregate stock-level ETF ownership and common ETF ownership at the stock-pair level indicate that ETF ownership significantly...
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Unleveraged portfolios and pure allocation return
Alemanni, Barbara; Maggi, Mario Alessandro; Uberti, … - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-11
In asset management, the portfolio leverage affects performance, and can be subject to constraints and operational limitations. Due to the possible leverage aversion of the investors, the comparison between portfolio performances can be incomplete or misleading. We propose a procedure to...
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ETFs, illiquid assets, and fire sales
Shim, John J.; Todorov, Karamfil - 2021
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Financial risk and better returns through smart beta exchange-traded funds?
Bowes, Jordan; Ausloos, Marcel - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-30
Smart beta exchange-traded funds (SB ETFs) have caught the attention of investors due to their supposed ability to offer a better risk-return trade-off than traditionally structured passive indices. Yet, research covering the performance of SB ETFs benchmarked to traditional cap-weighted market...
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The role of leveraged ETFs and option market imbalances on end-of-day price dynamics
Barbon, Andrea; Beckmeyer, Heiner; Buraschi, Andrea; … - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012623523
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Multiscale decomposition and spectral analysis of sector ETF price dynamics
Leung, Tim; Zhao, Theodore - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-22
We present a multiscale analysis of the price dynamics of U.S. sector exchange-traded funds (ETFs). Our methodology features a multiscale noise-assisted approach, called the complementary ensemble empirical mode decomposition (CEEMD), that decomposes any financial time series into a number of...
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On the informational efficiency of Saudi exchange-traded funds listed at home and away from home
Al-Nassar, Nassar S. - In: Cogent economics & finance 9 (2021) 1, pp. 1-23
This study compares the pricing efficiency of two domestic exchange-traded funds (ETFs) (i.e., Falcom 30 and HSBC 20) listed on the Saudi stock exchange (i.e., Tadawul), as well as an international ETF (i.e., iShares MSCI Saudi Arabia) listed on the NYSE, by examining the extent and properties...
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Investor overconfidence in the South African exchange traded fund market
Kunjal, Damien; Peerbhai, Faeezah - In: Cogent economics & finance 9 (2021) 1, pp. 1-18
Exchange Traded Funds (ETFs) have proven to be extremely popular amongst both retail and institutional investors. The increasing interest in this asset class may incite overconfidence in its' investor base, which could lead to undesirable market effects such as security mispricing, excess...
Persistent link: https://ebtypo.dmz1.zbw/10013184411
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Influence of the growing ETF industry on active investor relations work
Erben, Annika - 2021
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The Performance of Passively-Managed Hedged ETFs
Cheng, Jason M. K. - 2020
This study provides early evidence on the performance of passively-managed hedged exchange-traded funds (HETFs) introduced rather recently in late 2006. The data covers surviving HETFs in 2017 under global macro and long-short classifications. Using Fung and Hsieh's (2004) 7-factor model and...
Persistent link: https://ebtypo.dmz1.zbw/10012845904
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The Impact of ETFs in Secondary Asset Markets : Experimental Evidence
Duffy, John - 2020
We examine how exchange traded funds (ETFs) affect asset pricing, and trade volume in a laboratory asset market. We focus on behavior in secondary markets with or without ETF assets and whether there is zero or negative correlation in asset dividends. In the latter case, the diversification...
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Are there Pricing Spillovers within ETFs? Evidence from Emerging Market Corporate Bonds
Braun, Matías - 2020
Various financial theories predict that the entry of a new security into an exchange-traded-fund (ETF) could impact the price of the other constituents of that ETF. We test these theories using data from Emerging Market Corporate Bonds between 2012 and 2017. We find that the entry of a new bond...
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ETF Momentum
Li, Frank Weikai - 2020
We document economically large momentum profits when sorting ETFs on returns over the past two to four years. A value-weighted, long-short strategy based on ETF momentum delivers Carhart (1997) four-factor alphas of up to 1.20% per month. Neither cross-sectional stock momentum nor co-variation...
Persistent link: https://ebtypo.dmz1.zbw/10012847346
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ETFs Ownership and Corporate Cash Holdings
Tosun, Onur Kemal - 2020
Do exchange-traded funds (ETFs) influence corporate cash holding decisions? Consistent with the reduced managerial learning from the stock market and increased uncertainty due to higher ETFs ownership, we show that firms included in ETFs' baskets have higher cash holdings as a precautionary...
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Active ETF Liquidity
Pham, Son Duy - 2020
Active ETFs are less liquid than their underlying portfolios. This finding, which contrasts with that for passive ETFs, is attributed to uncertainty of future holdings of active ETFs. In addition, while diversification generally reduces firm-specific information asymmetry and improves portfolio...
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Fixed Income ETFs, Bond Liquidity, and Stressed Markets
Marta, Thomas - 2020
This paper examines the impact of Fixed Income Exchange-Traded Funds (ETFs) on corporate bond liquidity. I find that corporate bonds ETFs decrease the transaction costs of their constituent securities. The use of two distinct quasi-natural experiments, that control for the identification issues...
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Ease-of-processing Heuristics and Asset Prices : Evidence from the Exchange-traded Repo Market in China
Fang, Xuyun - 2020
Prior to May 22, 2017, trading information displayed on certain days of the week and on days prior to market-closed holidays required investors in Chinese exchange-traded repos to infer repos' actual maturities to place orders at appropriate rates. Repo rates on these days exhibited remarkable...
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The Dynamics of ETF Fees
Box, Travis - 2020
Despite widely publicized fee reductions, we find that average ETF expense ratios have remained relatively steady during the last 15 years. Even though thousands of new funds have entered the market, the arrival of most ETF sponsors into a narrowly defined area does not generally lead to lower...
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Intraday Arbitrage Between ETFs and their Underlying Portfolios
Box, Travis - 2020
Prior research suggests that ETF arbitrage affects the market quality of underlying securities. We directly test this proposition by examining minute-by-minute returns and order imbalances, but find little evidence that trading in ETFs impacts the underlying. Panel vector autoregression shows...
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Leveraged ETF Pairs : An Empirical Evaluation of Portfolio Performance
Peterburgsky, Stanley - 2020
This paper examines the performance of investment strategies involving leveraged and inverse leveraged ETF pairs. As in Jiang and Peterburgsky's (2017) simulation analysis, the empirical analysis in this paper indicates that simple portfolios of bull/bear short positions constructed to...
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Do ETFs Increase Liquidity?
Saglam, Mehmet - 2020
This paper investigates the impact of exchange-traded funds (ETFs) on the liquidity of their underlying stockholdings. Using a difference-in-differences methodology for large changes in the index weights of stocks in the S&P 500 and NASDAQ 100 indexes, we find that increases in ETF ownership are...
Persistent link: https://ebtypo.dmz1.zbw/10012852669
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Leveraged ETF Premium
Geissmann, Martin - 2020
Leveraged exchange-traded funds (LETFs) that allow investors to over-proportionally participate in abstract markets, such as indices, are studied in this paper. LETFs are found to suffer from a performance lag (negative alpha). The lag is categorized in three ways: fund management fees,...
Persistent link: https://ebtypo.dmz1.zbw/10012828722
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Predicting ETF Liquidity
Pham, Son Duy - 2020
A substantial amount is incurred in ETF transaction costs each year. This paper examines the performance of a vector autoregressive (VAR) model and other naïve models to time trades in 1,350 ETFs over the 2011 to 2017 period. We find varied spread savings for large and retail ETF traders by...
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Application of diffusion models in the analysis of financial markets : evidence on exchange traded funds in Europe
Marszk, Adam; Lechman, Ewa - In: Risks : open access journal 8 (2020) 1/18, pp. 1-23
Exchange traded funds (ETFs) are financial innovations that may be considered as a part of the index financial instruments category, together with stock index derivatives. The aim of this paper is to explore the trajectories and formulates predictions regarding the spread of ETFs on the...
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Risk analysis of a hedge fund oriented on sustainable and responsible investments for emerging markets
Prelipcean, Gabriela; Boscoianu, Mircea - In: Amfiteatru economic : an economic and business research … 22 (2020) 55, pp. 653-667
The aim of this paper is to analyse the development strategies of an innovative Special Purpose Vehicle (SPV) for sustainable and responsible investments (SRI). This contribution represents a premiere for the Romanian capital market, an emerging market with low liquidity and limited...
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Recovering investor expectations from demand for index funds
Egan, Mark L.; MacKay, Alexander; Yang, Hanbin - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012244242
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Performance evaluation of global high-rated ETFs during the taper tantrum
Marios, Arampatzis; Kalliopi, Daskalou; Evangelia, … - In: Journal of central banking theory and practice 9 (2020) 1, pp. 23-44
This study examines the performance of fifty global exchanged-traded funds (ETFs) traded on US stock exchanges. Specififcally, it refers to the period following the end of quantitative easing, which took place in 2014. Therefore, the data, on which the study is based, refer to the period from...
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Impacts of the Fed Corporate Credit Facilities through the Lenses of ETFs and CDX
D'Amico, Stefania; Kurakula, Vamsidhar; Lee, Stephen M. - 2020
In this study, we use the liquid and efficient bond ETF prices and CDX spreads to quantify the effects of the announcements of the Primary and Secondary Market Corporate Credit Facilities on the underlying corporate bonds. We find that those announcements triggered: (i) large and positive jumps...
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Algorithmic setups for trading popular U.S. ETFs
Cohen, Gil - In: Cogent economics & finance 8 (2020) 1, pp. 1-9
In this research, we test whether common trading oscillators can outperform the buy-and-hold strategy (B&H) using six popular ETFs for the period of the last 20 years. We use the original setups of those oscillators and also other setups or oscillators combinations in order to achieve the best...
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Pricing efficiency of exchange traded funds in India
Reddy, Y. V.; Dhabolkar, Pinkesh - In: Organizations and markets in emerging economies 11 (2020) 1, pp. 244-268
Exchange traded funds (ETFs) have two prices, the market price and the net asset value (NAV) price. ETFs NAV price gets determined by the net value of the constituent assets, whereas the market price of ETFs depends upon the number of units bought or sold on the stock exchange during trading...
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How ETFs amplify the global financial cycle in emerging markets
Converse, Nathan; Levy Yeyati, Eduardo; Williams, Tomas - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012151373
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Recovering investor expectations from demand for index funds
Egan, Mark L.; MacKay, Alexander; Yang, Hanbin - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012177001
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Arbitrage and liquidity : evidence from a panel of exchange traded funds
Rappoport, David E.; Tuzun, Tugkan - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012389833
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Performance dynamics of international exchange-traded funds
Bahadar, Stephen; Gan, Christopher; Nguyen, Cuong - In: Journal of risk and financial management : JRFM 13 (2020) 8/169, pp. 1-14
Asynchronous trading hours between the markets of Exchange-Traded Funds (ETFs) and their benchmarks not only make it difficult to apply a full replication strategy but also make the creation/redemption process ineffective and consequently distress the performance of international ETFs. Despite...
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Intraday jumps, liquidity, and U.S. macroeconomic news : evidence from exchange traded funds
Jurdi, Doureige J. - In: Journal of risk and financial management : JRFM 13 (2020) 6/118, pp. 1-20
This paper uses two highly liquid S&P 500 and gold exchange-traded funds (ETFs) to evaluate the impact of liquidity and macroeconomic news surprises on the frequency of observing intraday jumps. It explicitly addresses market microstructure noise-induced biases in realized estimators used in...
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Tracking biased weights : asset pricing implications of value-weighted indexing
Jiang, Hao; Vayanos, Dimitri; Lu, Zheng - 2020
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Exchange-traded funds and FX volatility : evidence from Turkey
Sakarya, Burçhan; Ekinci, Aykut - In: Central Bank review / Central Bank of the Republic of Turkey 20 (2020) 4, pp. 205-211
Exchange-Traded Funds (ETFs) have become one of the most popular passive investment instruments since they bring together the advantages of stocks and mutual funds. As passive investors are more risk averse and sensitive to possible adverse market developments, ETF's fund flows can provide...
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Unskilled fund managers: replicating active fund performance with few ETFs
Cavalcante Júnior, Elias; De-Losso, Rodrigo; Moraes, … - 2020
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