Kearney, Fearghal; Cummins, Mark; Murphy, Finbarr - In: Journal of Financial Markets 19 (2014) C, pp. 86-109
An investigation into exchange-traded fund (ETF) outperformance during the period 2008–2012 is undertaken utilizing a data set of 288 U.S. traded securities. ETFs are tested for net asset value (NAV) premium, underlying index and market benchmark outperformance, with Sharpe, Treynor, and...
