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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

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

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

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

Can ETFs afect U.S. fnancial stability? : A quantile cointegration analysis

Laborda, Juan; Laborda, Ricardo; Cruz, Javier de la - In: Financial innovation : FIN 10 (2024), pp. 1-24

This study evaluates whether exchange traded funds (ETFs) threaten fnancial market stability by testing two hypotheses relating the growing importance of ETFs to increased market volatility and rising equity valuations. We estimate quantile cointegration models using Standard & Poor's 500 Index...

Persistent link: https://www.econbiz.de/10014540299

ETF Risk Models

Kakushadze, Zura; Yu, Willie - 2021

We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non … how to build an ETF taxonomy using ETF constituent data. A multilevel ETF taxonomy can also be constructed by … appropriately augmenting and expanding well-built and granular third-party single-level ETF groupings …

Persistent link: https://www.econbiz.de/10013213003

Volatility Timing Using ETF Options : Evidence from Hedge Funds

Aragon, George O.; Chen, Shuaiyu; Shi, Zhen - 2022

We find that hedge funds’ ETF option positions predict cross-sectional differences in the future volatility of … based on funds’ straddle positions earns quarterly abnormal returns of 7.35%. Net of fees, funds using ETF straddles deliver … lower risk and higher benchmark-adjusted returns than nonusers. We also find that hedge funds’ trading in ETF options has a …

Persistent link: https://www.econbiz.de/10014238958

Salience and Mutual Fund Investor Demand for Idiosyncratic Volatility

Clifford, Christopher P. - 2020

We find that mutual fund investors are more likely to both purchase and redeem funds with high idiosyncratic volatility (IV). Investors' tendency to purchase high IV funds is largely driven by high IV funds having more extreme returns, which increases the salience of the fund. Including flexible...

Persistent link: https://www.econbiz.de/10012855782

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

Evaluation of leverage effect and spillover effect of Indian broad index exchange traded funds

Sabu, Marvin; Abraham, Sajimon - In: Finance India : the quarterly journal of Indian … 36 (2022) 4, pp. 1313-1324

Persistent link: https://www.econbiz.de/10014340790

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