employing the Capital Asset Pricing Model (CAPM), we evaluate the performance of fifty ETFs according to their rating by the …This study examines the performance of fifty global exchanged-traded funds (ETFs) traded on US stock exchanges …/b measures. The results of the study indicate that the examined ETFs show selectivity skills and present bearish behaviour in …

definition of crossed beta and the net risk premium ratio that stems from it. The latter fulfils the axioms of risk …

-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors show consistent long …. A pure long-memory model reliably provides superior beta forecasts compared to all alternatives. Finally, we document …

Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM … permite sostener la tesis central del CAPM. Ninguna de las betas de 6 grupos de variables es capaz de discriminar … un adecuado ordenamiento mientras que en las regresiones de corte transversal, la beta no resulta estadísticamente …

consistent with each of the model's five central predictions: (1) Because constrained investors bid up high-beta assets, high … beta is associated with low alpha, as we find empirically for US equities, 20 international equity markets, Treasury bonds …, corporate bonds, and futures. (2) A betting against beta (BAB) factor, which is long leveraged low-beta assets and short high-beta …

Initially launched with success in the North-American markets, ETFs started trading European markets in 2000. From then …. In this paper, we present the history of ETFs and the current state of the European ETF markets. Then, we explain their … specificities and their trading process. Finally, we review the literature addressing the performance of ETFs, their efficiency and …

34 years of daily and annual returns for the S&P500 and 13 years of returns for popular ETFs, I have demonstrated the …