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Three essays on equity exchange-traded funds

Osterhoff, Friedrich Karl Yorck Henri - 2016

Persistent link: https://www.econbiz.de/10012312909

Are socially responsible exchange-traded funds paying off in performance?

Dai, Ya; Guo, Liang; Liu, Steve; Zhang, Hongxian - In: International review of finance : the official journal … 23 (2023) 1, pp. 4-26

Persistent link: https://www.econbiz.de/10014251337

Indexing and the Incorporation of Exogenous Information Shocks to Stock Prices

Morck, Randall; Yavuz, Mehmet Deniz - National Bureau of Economic Research - 2023

Savings increasingly flow to low-cost index funds, which simply buy and hold the stocks in a major index, such as the S&P 500. Increased indexing impedes incorporation of idiosyncratic information into stock prices. We limit endogeneity bias by showing that exogenous idiosyncratic currency...

Persistent link: https://www.econbiz.de/10014447296

Can exchange traded funds be used to exploit industry and country momentum?

Andreu, Laura; Swinkels, Laurens; Tjong-A-Tjoe, Liam - In: Financial markets and portfolio management 27 (2013) 2, pp. 127-148

Persistent link: https://www.econbiz.de/10009754542

Testing moving average trading strategies on ETFs

Huang, Jing-Zhi; Huang, Zhijian - In: Journal of empirical finance 57 (2020), pp. 16-32

Persistent link: https://www.econbiz.de/10012430427

Testing technical trading strategies on China's equity ETFs : a skewness perspective

Jin, Xiaoye - In: Emerging markets review 51 (2022) 1, pp. 1-37

Persistent link: https://www.econbiz.de/10013417282

Can active investment managers beat the market? : a study from the U.S. large cap equity segment

Šindelář, Jiří - In: Finance research letters 50 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10014234108

Why do index funds have market power? : quantifying frictions in the index fund market

Brown, Zach Y.; Egan, Mark L.; Jeon, Jihye; Jin, Chuqing; … - 2023

Persistent link: https://www.econbiz.de/10014467885

Investor overconfidence in the South African exchange traded fund market

Kunjal, Damien; Peerbhai, Faeezah - In: Cogent economics & finance 9 (2021) 1, pp. 1-18

Exchange Traded Funds (ETFs) have proven to be extremely popular amongst both retail and institutional investors. The … effects such as security mispricing, excess trading volumes, and exacerbated market volatility. This study aims to examine the … relationship between current market turnover and lagged market returns is found for both ETFs with domestic benchmarks and ETFs …

Persistent link: https://www.econbiz.de/10013184411

Performance dynamics of international exchange-traded funds

Bahadar, Stephen; Gan, Christopher; Nguyen, Cuong - In: Journal of risk and financial management : JRFM 13 (2020) 8/169, pp. 1-14

Asynchronous trading hours between the markets of Exchange-Traded Funds (ETFs) and their benchmarks not only make it … distress the performance of international ETFs. Despite the exponential growth of the ETF industry in general and international … ETFs in particular, the performance of international ETFs is under-researched. Therefore, this study evaluates the …

Persistent link: https://www.econbiz.de/10012322206