This article presents an analysis of time dependent factors that influence the stability of beta in the ETF market. The results indicate that the calculated betas for ETFs are significantly dependent on the choice of time interval used in their calculation. In addition, daily and weekly return...

This paper reviews some well-known options to estimate the portfolio average of the price-earnings (P/E) multiple, emphasizing the logic and calculation of the harmonic mean. The harmonic mean is a useful but oftentimes unfamiliar calculation to many students and professionals. The simple...

This article seeks to determine the migration of exchange-traded fund (ETF) liquidity and its factor constituents in the U.S. market over time, with the ultimate goal of making the ETF market more efficient and transparent. Using a set of factors commonly thought to impact liquidity, the authors...

There are about 900 ETFs trading in the market, of which a large number appear to be duplicative in design and coverage. Some of them possibly serve as a tool for issuing firms to gain market share. We suspect that many of the newer funds have low liquidity, asynchronous trading, and wider...