This study compares the pricing efficiency of two domestic exchange-traded funds (ETFs) (i.e., Falcom 30 and HSBC 20) listed on the Saudi stock exchange (i.e., Tadawul), as well as an international ETF (i.e., iShares MSCI Saudi Arabia) listed on the NYSE, by examining the extent and properties...

This paper examines the causes and consequences of hedge fund investments in exchange traded funds (ETFs) using U.S. data from 1998 to 2018. The data indicate that transient hedge funds and quasi-indexer hedge funds are substantially more likely to invest in ETFs. Unexpected hedge fund inflows...

The method previously devised to harvest most of the potential gain in bull markets while avoiding most of the pain in bear markets is improved to provide greater accuracy and minimize whipsaw trading that can occur in some cases. The basic method focuses on a buy-the-market and hold strategy...

The paper explores various aspects of Italian listed Exchange Traded Funds (ETFs) liquidity. Current risk management tools, particularly the most common Value at Risk (VaR) measures, do not capture the liquidity component of market risk satisfactorily. We propose to calculate an indicator for...

This paper use Exchange Traded Funds (ETFs) instead of risk factors as benchmarks to examine active mutual fund performance distribution. While transaction costs are included in the ETF returns, that is not true regarding risk factors, making it more challenging to characterize extraordinary...