ETF arbitrage, non-fundamental demand, and return predictability
Year of publication: |
2021
|
---|---|
Authors: | Brown, David C. ; Davies, Shaun William ; Ringgenberg, Matthew C. |
Published in: |
Review of finance : journal of the European Finance Association. - Oxford : Oxford University Press, ISSN 1875-824X, ZDB-ID 2214390-7. - Vol. 25.2021, 4, p. 937-972
|
Subject: | Exchange-traded funds (ETFs) | ETF flows | Non-fundamental demand | return predictability | Indexderivat | Index derivative | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Investmentfonds | Investment Fund | Arbitrage | Kapitalmarktrendite | Capital market returns | Schätzung | Estimation |
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