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On the informational efficiency of Saudi exchange-traded funds listed at home and away from home

Al-Nassar, Nassar S. - In: Cogent economics & finance 9 (2021) 1, pp. 1-23

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...

Persistent link: https://www.econbiz.de/10013183860

Simulating Historical Inflation-Linked Bond Returns

Swinkels, Laurens - 2018

use these to create hypothetical inflation-linked bond returns. We compare these with the return on actual inflation …-linked bond returns on a recent sample and find that surveys of professional forecasters and moving average models perform best …. We confirm these findings for a sample of 19 international inflation-linked bond markets. Using surveys of professional …

Persistent link: https://www.econbiz.de/10012934959

Mind Thy Neighbor's Portfolio : A Network Approach to Contagion in the ETF Market

Iwadate, Bruce - 2021

effects with the Fed announcement of the Bond ETF purchase in March 2020. The findings suggest that arbitragers create …

Persistent link: https://www.econbiz.de/10013309878

ETF Rebalancing, Hedge Fund Trades, and Capital Market

Wang, George Jiaguo; Yao, Chelsea Yaqiong; Yelekenova, Adina - 2023

We study the interaction between ETF rebalancing and hedge fund “front-running” trades and its implications for the capital market. First, we document that ETF rebalancing has a strong negative relation with future stock returns. Second, we observe that hedge funds gradually increase...

Persistent link: https://www.econbiz.de/10014258333

Neural Network Copula Portfolio Optimization for Exchange Traded Funds

Zhao, Yang - 2018

This paper attempts to investigate if adopting accurate forecasts from Neural Network (NN) models can lead to statistical and economically significant benefits in portfolio management decisions. In order to achieve that, three NNs, namely the Multi-Layer Perceptron (MLP), Recurrent Neural...

Persistent link: https://www.econbiz.de/10012935150

Can Active Fund Managers Be Replaced with Exchange Traded Funds?

Haber, Jeffry - 2019

There is a long-standing debate about whether active investment management can outperform a passive benchmark, usually expressed as an index. The debate is usually considered on the manager-level, comparing the active management return of a particular manager against an appropriate index. This...

Persistent link: https://www.econbiz.de/10012862125

Tracking Error and Portfolio Diversification Using Mutual Funds and ETFs

Potter, Mark - 2014

Current practice and research in portfolio asset allocation employs necessary assumptions about which securities and asset classes are held in particular proportions in order to arrive at an “optimal” mix of investments. These studies typically employ the average performance in the input...

Persistent link: https://www.econbiz.de/10013049502

Long-Term Investing in Triple Leveraged Exchange Traded Funds

Glenn, Lewis A. - 2021

of TQQQ and TMF (the triple leveraged ETF linked to the 20+ year treasury bond), and performing bimonthly rebalancing, a …

Persistent link: https://www.econbiz.de/10013242704

Actively Managed ETF versus Actively Managed Mutual Funds

Sherrill, Eli - 2017

Purpose: The purpose of this paper is to study if actively managed exchange-traded funds (AMETFs) and actively manager mutual funds (AMMFs) are complements or substitutes. It also tests if there are tax or liquidity clientele effects. Design/methodology/approach: The study investigates the...

Persistent link: https://www.econbiz.de/10012947483

Do Stock Retail Investors Show Better Portfolio Performance When They Hold Passive ETFs?

Elhichou Elmaya, Younes; D'Hondt, Catherine; Petitjean, … - 2022

We investigate the portfolio performance of retail investors who combine stocks and passive exchange traded funds (P-ETFs) by relying on both proprietary trading records and survey data. We use propensity score matching to control for all the key investor characteristics and better identify the...

Persistent link: https://www.econbiz.de/10013405055