The goal of this study is to determine which fund or country-specific characteristics predict accurate performance in terms of tracking country-specific stock market indices. Ninety-three country-specific exchange-traded funds from 47 different countries are included in this study. In accordance...

The relationship between returns and risk factors are likely to vary depending on the investor's time horizon, but CAPM supposes homogenous expectations. A relatively new approach known as wavelet analysis may help to reduce that problem, incorporating different time scales. Taking advantage of...

This paper aims to examine the contemporaneous relationship between trading volume and returns in the ETF market taking the stock market as a contrast. While past research using correlation analysis and OLS method to specify a linear regression model only catches the average relationship between...

Over 26% of investment company assets are held in passive managed vehicles. Thus, it is important to understand what affects the performance of passive vehicles and how to choose among the multiple passive options following any index. This paper examines the factors that are important in...