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Return differences between DAX ETFs and the benchmark DAX
Schmidhammer, Christoph - 2021
For the DAX index market, this paper analyses the development of return differences between exchange traded funds (ETFs) and the DAX index from the perspective of long-term investors. The newly introduced methodology provides the opportunity to continuously identify long-term costs of passively...
Persistent link: https://www.econbiz.de/10012607112
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Bond Fund Disappearance : What’s Return Got to Do with it?
Rohleder, Martin - 2012
In their seminal paper on bond fund performance, Blake, Elton and Gruber (1993) state that survivorship bias is … unimportant for this market segment. Many bond fund studies have since been published without treating survivorship bias despite … disappearance of bond funds comprehensively. As key determinants we identify fund size and flows. Compared to equity funds, returns …
Persistent link: https://www.econbiz.de/10013114608
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Performance of exchange traded funds during the Brexit referendum : an event study
Alkhatib, Akram; Harasheh, Murad - In: International Journal of Financial Studies : open … 6 (2018) 3, pp. 1-12
.5% positive significant abnormal returns. The US T-Bond fund recorded a 9% return with a significant 7.2% abnormal return. The …
Persistent link: https://www.econbiz.de/10011884162
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Performance of Exchange Traded Funds During the Brexit Referendum : An Event Study
Alkhatib, Akram - 2018
.5% positive significant abnormal returns. The US T-Bond fund recorded a 9% return with a significant 7.2% abnormal return. The …
Persistent link: https://www.econbiz.de/10012914571
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Exchange-Traded Fund Introductions and Closed-End Fund Discounts and Volume (Unabridged Version)
Barnhart, Scott W. - 2009
Until the advent of exchange-traded funds (ETFs), closed-end funds (CEFs) were the only professionally managed portfolios suitable for non-accredited investors that could be traded like individual stocks. We hypothesize that the introduction of an ETF in an asset class similar to an existing CEF...
Persistent link: https://www.econbiz.de/10013156517
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High Frequency Return and Risk Patterns in U.S. Sector ETFs during COVID-19
Gurrib, Ikhlaas; Kamalov, Firuz - 2021
This study investigates the presence of intraday patterns in the eleven sectors of the United States (U.S.) economy. Key contributions are in terms of assessing (i) risk and return patterns at specific time periods of the trading session on the New York Stock Exchange (NYSE), (ii) whether a...
Persistent link: https://www.econbiz.de/10013231110
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Exchange Traded Funds and Asset Return Correlations
Da, Zhi - 2016
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 comovement at both the fund and the stock levels, after...
Persistent link: https://www.econbiz.de/10013007888
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On the informational efficiency of Saudi exchange-traded funds listed at home and away from home
Al-Nassar, Nassar S. - In: Cogent economics & finance 9 (2021) 1, pp. 1-23
This study compares the pricing efficiency of two domestic exchange-traded funds (ETFs) (i.e., Falcom 30 and HSBC 20) listed on the Saudi stock exchange (i.e., Tadawul), as well as an international ETF (i.e., iShares MSCI Saudi Arabia) listed on the NYSE, by examining the extent and properties...
Persistent link: https://www.econbiz.de/10013183860
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Investor Sentiment and Momentum and Contrarian Trading Strategies : Mutual Fund Evidence
Cullen, Grant - 2011
Stocks with high sentiment betas are more sensitive to investor sentiment, with more subjective valuations. We contend that sentiment beta also captures the duration of mispricing. Accordingly, stocks with high (low) sentiment betas provide opportunities for momentum (contrarian) traders. We...
Persistent link: https://www.econbiz.de/10013121460
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Mutual Fund Performance and the Sources of Portfolio Volatility
Vafai, Nima; Rakowski, David A. - 2022
We conduct a volatility decomposition to identify the source of performance differences between low volatility and high volatility mutual funds. A higher level of return covariance of fund holdings is associated with more fund-level exposure to the idiosyncratic volatility effect. Average...
Persistent link: https://www.econbiz.de/10013308758