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Overreaction of country ETFs to US market returns: Intraday vs. daily horizons and the role of synchronized trading
Levy, Ariel; Lieberman, Offer - In: Journal of Banking & Finance 37 (2013) 5, pp. 1412-1421
In this paper we study the intraday price formation process of country Exchange Traded Funds (ETFs). We identify specific parts of the US trading day during which Net Asset Values (NAVs), currency rates, premiums and discounts, and the S&P 500 index have special effects on ETF prices, and...
Persistent link: https://www.econbiz.de/10010741762
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International High-Frequency Arbitrage for Cross-Listed Stocks
Poutré, Cédric; Dionne, Georges; Yergeau, Gabriel - 2021
We explore latency arbitrage activities with a new arbitrage strategy that we test with high-frequency data during the … first six months of 2019. We study the profitability of mean-reverting arbitrage activities of 74 cross-listed stocks … involving three exchanges in Canada and the United States. Our arbitrage strategy is a hybrid between triangular arbitrage and …
Persistent link: https://www.econbiz.de/10013218630
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Feedback Trading : Strategies during Day and Night with Global Interconnectedness
Kusen, Alex - 2018
Feedback trading strategies have gained much popularity among researchers in the last decadesand are used to illustrate how new information based on returns is reflected in the markets. This paper extends previous studies by decomposing the overall return premium and introducing the global...
Persistent link: https://www.econbiz.de/10012908699
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Exchange Traded Notes : An Introduction
Diavatopoulos, Dean - 2019
The first Exchange Traded Note (ETN) was introduced in 2006. Since then, at least 64 other ETNs have been issued, with more announced. This financial security, which is growing in number and popularity, is often confused with Exchange Traded Funds (ETFs) and seems to be largely misunderstood by...
Persistent link: https://www.econbiz.de/10012906242
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Limits of Arbitrage under the Microscope : Evidence from Detailed Hedge Fund Transaction Data
von Beschwitz, Bastian - 2017
We exploit detailed transaction and position data for a sample of long-short equity hedge funds to document new facts about the trading activity of sophisticated investors. We find that the initiation of both long and short positions is associated with significant abnormal returns, suggesting...
Persistent link: https://www.econbiz.de/10012956100
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Fundamental Arbitrage under the Microscope : Evidence from Detailed Hedge Fund Transaction Data
von Beschwitz, Bastian; Lunghi, Sandro; Schmidt, Daniel - 2021
limits of arbitrage: hedge funds close positions early in order to reallocate their capital to more profitable investments …
Persistent link: https://www.econbiz.de/10013231945
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Institutional investors and equity prices : information, behavioral bias and arbitrage
Han, Bing; Kong, Dongmin - 2017
This paper investigates how institutional investors matter for asset pricing by using daily institutional trading data and a natural experiment, the split–share structure reform in China. This reform required all listed companies to convert their non-tradable shares to tradable shares after...
Persistent link: https://www.econbiz.de/10011646414
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The Dynamics of Financially Constrained Arbitrage
Gromb, Denis - 2017
. We show that the dynamics of arbitrage capital are self-correcting: following a shock that depletes capital, returns … respect to arbitrage capital. Diversification of arbitrageurs across markets induces contagion, but generally lowers …
Persistent link: https://www.econbiz.de/10012949344
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Short Interest in Exchange-Traded Funds
Madura, Jeff - 2010
Short selling exchange-traded funds (ETFs) has become a common means of speculating or hedging in response to pessimistic expectations about a specific market or sector, as the short interest of ETFs is more than 10 times that of individual stocks, on average. We determine that sector-based ETFs...
Persistent link: https://www.econbiz.de/10013142124
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Home Asset Preference and Productivity Shocks
Eldor, Rafi (Rafael) - 2014
This paper presents (sufficient) conditions for the domestic investor/consumer to hold in equilibrium a disproportionate share of domestic assets. The analysis is carried out in a general equilibrium framework of products and assets markets, when the source of the uncertainty is productivity...
Persistent link: https://www.econbiz.de/10013061557