This paper investigates the seasonal characteristics of exchange traded funds (ETFs) return, risk, tracking error and volume and reveals the existence of a strong November effect in performance. On the other hand, this study finds that the well-known January effect does not affect the...

Purpose – The purpose of this paper is to assess whether exchange‐traded funds (ETFs) can beat the market, as it is expressed by the Standard and Poor (S&P) 500 Index, examine the outperformance persistence, calculate tracking error, assess the tracking error persistence, investigate the...

Purpose – This paper aims to investigate the intervalling effect bias in ETFs' systematic risk expressed by beta. The authors' findings reveal the existence of a significant intervalling effect on ETFs' beta obtained by the ordinary least squares method (OLS). Also investigated is the impact...