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Analysis of ETF bid-ask spread components
Ivanov, Stoyu I. - In: The quarterly review of economics and finance : journal … 61 (2016), pp. 249-259
Persistent link: https://www.econbiz.de/10011627536
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Study of REIT ETF beta
Ivanov, Stoyu I. - In: Journal of risk finance : the convergence of financial … 17 (2016) 3, pp. 347-369
Persistent link: https://www.econbiz.de/10011628415
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High-frequency analysis of exchange traded funds' pricing deviation
Ivanov, Stoyu I. - In: Managerial Finance 39 (2013) April, pp. 509-524
Purpose – The purpose of this study is to extend the work of DeFusco, Ivanov and Karels by examining pricing deviation of DIA, SPY and QQQQ on intradaily basis. Design/methodology/approach – The DIA is designed to be one hundredth of the DJIA, the SPY is designed to be one tenth of the S&P...
Persistent link: https://www.econbiz.de/10010639482
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Study of REIT ETF beta
Ivanov, Stoyu I. - In: The Journal of Risk Finance 17 (2016) 3, pp. 347-369
Purpose The aim of this study is to examine real estate investment trust exchange-traded funds (REIT ETFs) and test for the existence of the “asymmetric beta puzzle” phenomenon in these financial instruments that are relatively new and are gaining popularity. The “asymmetric beta puzzle”...
Persistent link: https://www.econbiz.de/10014902153
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High‐frequency analysis of exchange traded funds' pricing deviation
Ivanov, Stoyu I. - In: Managerial Finance 39 (2013) 5, pp. 509-524
Purpose – The purpose of this study is to extend the work of DeFusco, Ivanov and Karels by examining pricing deviation of DIA, SPY and QQQQ on intradaily basis. Design/methodology/approach – The DIA is designed to be one hundredth of the DJIA, the SPY is designed to be one tenth of the S&P...
Persistent link: https://www.econbiz.de/10014940296