asymmetric skewed t copula statistically outperforms symmetric copulas when it comes to modelling ETF returns dependence. The … copula model (NNC) is introduced in order to capture the dependence structure across ETF returns. Based on the above, weekly …

This study shows that exchange-traded fund (ETF) misvaluation — based on return differentials between ETFs and their … primarily from the ETF, rather than the NAV price. Excess comovements are greater for funds with high commonality in demand …

proposing to take long positions on “short assets” (e.g. inverse ETF), thereby considering short positions as active investment …

interpretation of ETF returns as proxies to alternative risk factors driving hedge fund returns. We further consider portfolios of … “cloneable” and “non-cloneable” hedge funds, defined as top and bottom in-sample R2 matches, and demonstrate that our ETF clone …

We provide novel evidence supporting the notion that arbitrageurs can contribute to return comovement via ETF arbitrage …. Using a large sample of U.S. equity ETF holdings, we document the link between measures of ETF activity and return … ETF return autocorrelations and stock lagged beta provides evidence for price reversal, suggesting that some ETF …