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Impact of ETF inception on the valuation and trading of component stocks

Madura, Jeff; Ngo, Thanh - In: Applied financial economics 18 (2008) 10/12, pp. 995-1007

Persistent link: https://www.econbiz.de/10003739515

Seasonal indexation bias in US Treasury Inflation-indexed Securities

Gapen, Michael T. - In: Applied financial economics 13 (2003) 7, pp. 509-516

Persistent link: https://www.econbiz.de/10001770776

Modelling skewness and elongation in financial returns : the case of exchanged-traded funds

Jaggia, Sanjiv; Kelly, Alison - In: Applied financial economics 19 (2009) 16/18, pp. 1305-1316

Recent studies have documented the importance of asymmetry and tail-fatness of returns on portfolio-choice, asset-pricing, value-at-risk and option-valuation models. This article explores the nature of skewness and elongation in daily Exchange-traded Fund (ETF) return distributions using g, h...

Persistent link: https://www.econbiz.de/10003886164

Have leveraged and traditional ETFs impacted the volatility of real estate stock prices?

Curcio, Richard J.; Anderson, Randy I.; Guirguis, Hany S.; … - In: Applied financial economics 22 (2012) 7/9, pp. 709-722

Persistent link: https://www.econbiz.de/10009624327

Should gold be included in institutional investment portfolios?

Emmrich, Ole; McGroarty, Francis - In: Applied financial economics 23 (2013) 19/21, pp. 1553-1565

Persistent link: https://www.econbiz.de/10010259354

Exchange-traded funds, liquidity and volatility

Krause, Timothy; Ehsani, Sina; Lien, Da-hsiang Donald - In: Applied financial economics 24 (2014) 22/24, pp. 1617-1630

Persistent link: https://www.econbiz.de/10010460931

Study on the tracking errors and their determinants : evidence from Hong Kong exchange traded funds

Chu, Patrick Kuok-Kun - In: Applied financial economics 21 (2011) 4/6, pp. 309-315

Persistent link: https://www.econbiz.de/10009124571

Degree of market imperfections : evidence from four Asian index futures markets

Wang, Janchung - In: Applied financial economics 18 (2008) 13/15, pp. 1233-1246

Persistent link: https://www.econbiz.de/10003760260

Simulating convertible bond arbitrage portfolios

Hutchinson, Mark C.; Gallagher, Liam - In: Applied financial economics 18 (2008) 13/15, pp. 1247-1262

Persistent link: https://www.econbiz.de/10003760264

An out-of-sample comparative analysis of hedging performance of stock index futures : dynamic versus static hedging

Yang, Ming Jing; Lai, Yi-Chuan - In: Applied financial economics 19 (2009) 13/15, pp. 1059-1072

The purpose of this study is to examine the hedging performance of the major international stock index futures, including DJIA, S&P500, NASDAQ100, FTSE100, CAC40, DAX30 and Nikkei225 index futures, by using the various dynamic hedging strategies and the traditional static hedging strategies. The...

Persistent link: https://www.econbiz.de/10003886000