Purpose The aim of this study is to examine real estate investment trust exchange-traded funds (REIT ETFs) and test for …. Design/methodology/approach To study 14 REIT ETFs by using monthly and daily Center for Research in Security Prices (CRSP …) data. Capital asset pricing model (CAPM) and Fama–French three-factor model were used to estimate betas in REIT ETFs and …

differences in trading costs, volatility, and informational effects between ETFs and regular stocks, the paper documents that …Purpose – The aim of this paper is to examine the informational efficiency of prices of all exchange traded funds (ETFs … order flows of 273 ETFs that were traded every day on the NYSE Arca during the first six months of 2008, and compare the …

Purpose – The purpose is of this paper is to investigate whether the tracking ability of exchange traded funds (ETFs …/methodology/approach – The authors apply the Error Correction Model that incorporates a short‐run adjustment mechanism on domestic US ETFs that … 2006 and 2007, mainly in ETFs from the real estate and banking and finance sectors. In addition, tracking error is …

Purpose – The purpose of this paper is to examine the impact of the future of trading on volatility as well as the …. The Run and ACF tests are used to see impact on market efficiency. GARCH M model is used to see the impact on volatility … M implies that the market doesn't provide higher returns during the high volatility period. The results of the Run test …

actively managed exchange‐traded funds (ETFs) but continuing the moratorium on use of derivatives by leveraged ETFs. Design … of derivatives by mutual funds, ETFs and other investment companies; the lifting of the moratorium; two representations … ETFs that propose to use derivatives must make in their exemptive applications to the SEC; the implications for ETFs that …