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Exchange traded funds : leverage and liquidity
March-Dallas, Samique; Daigler, Robert T.; Mishra, Suchi; … - In: Applied economics 50 (2018) 37, pp. 4054-4073
Persistent link: https://www.econbiz.de/10012060690
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Bad news bears : effects of expected market volatility on daily tracking error of leveraged bull and bear ETFs
Holzhauer, Hunter Matthew; Lu, Xing; MacLeod, Robert W.; … - In: Managerial finance 39 (2013) 12, pp. 1169-1187
Persistent link: https://www.econbiz.de/10010197618
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Liquidity risk and exchange-traded fund returns, variances, and tracking errors
Bae, Kyounghun; Kim, Daejin - In: Journal of financial economics 138 (2020) 1, pp. 222-253
Persistent link: https://www.econbiz.de/10012631970
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Performance dynamics of international exchange-traded funds
Bahadar, Stephen; Gan, Christopher; Nguyen, Cuong - In: Journal of risk and financial management : JRFM 13 (2020) 8/169, pp. 1-14
Asynchronous trading hours between the markets of Exchange-Traded Funds (ETFs) and their benchmarks not only make it difficult to apply a full replication strategy but also make the creation/redemption process ineffective and consequently distress the performance of international ETFs. Despite...
Persistent link: https://www.econbiz.de/10012322206
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Assessing tracking risk of ETFs in India : an empirical study on selected index ETFs
Sarkar, Swapan - In: Research bulletin / The Institute of Cost Accountants … 42 (2016/2017) 4, pp. 23-37
Persistent link: https://www.econbiz.de/10011722276
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On mutual funds-of-ETFs asset allocation with rebalancing : sample covariance versus EWMA and GARCH
Xidonas, Panos; Tsionas, Mike; Zopounidis, Constantin - 2020
Persistent link: https://www.econbiz.de/10012165614
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Index trading and portfolio risk
Kvamvold, Joakim; Lindset, Snorre - In: Journal of economics and finance 41 (2017) 1, pp. 78-99
Persistent link: https://www.econbiz.de/10011795595
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Why are "true" active managers essential for markets?
Galakis, John - In: International journal of portfolio analysis and … 2 (2021) 3, pp. 199-223
Persistent link: https://www.econbiz.de/10012595945
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Risk and uncertainty in style rotation
Krause, Timothy A. - In: Financial services review : the journal of individual … 27 (2018) 2, pp. 189-207
Persistent link: https://www.econbiz.de/10011992584
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Factor models and investment strategies in the renewable energy sector
Miralles-Quirós, José Luis; Miralles-Quirós, María … - In: Energy economics 132 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10015047687