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This study examines the performance of fifty global exchanged-traded funds (ETFs) traded on US stock exchanges. Specififcally, it refers to the period following the end of quantitative easing, which took place in 2014. Therefore, the data, on which the study is based, refer to the period from...
Persistent link: https://www.econbiz.de/10012167185
This paper studies Leveraged and Inverse Exchange Traded Funds (LETFs) from a financial stability perspective. Mechanical positive-feedback rebalancing of LETFs resembles the portfolio insurance strategies, which contributed to the stock market crash of October 19, 1987 (Brady Report, 1988). I...
Persistent link: https://www.econbiz.de/10013034893
Many financial instruments are designed with embedded leverage such as options and leveraged exchange traded funds (ETFs). Embedded leverage alleviates investors' leverage constraints and, therefore, we hypothesize that embedded leverage lowers required returns. Consistent with this hypothesis,...
Persistent link: https://www.econbiz.de/10012837946
We posit that institutional investors' allocation to exchange-traded funds (ETFs) is an outgrowth of inferior skill or a lack of commitment to successful active stock selection. Using institutional investors' 13F holdings, we show that ETF users — as compared to non-users — manage their...
Persistent link: https://www.econbiz.de/10012935783
If one believes in a more sustained economic recovery in the near term than the more volatile one we have been witnessing over the past few years, and hence the inherent risk of accelerating inflation, Treasury inflation-protected securities (TIPS) could provide inflation protection to...
Persistent link: https://www.econbiz.de/10012963569
Recently, the concept of "blue finance" was introduced to the world. Blue finance envisages that ocean firms issue financial instruments to obtain funds and take necessary measures to make the ocean environment blue. To measure the blueness of a firm, we estimate the blueness index using GHG...
Persistent link: https://www.econbiz.de/10012493872
the optimal bond portfolio under both inflation and indexation lags in closed form. We show that indexation lags increase … the number of state variables characterizing both the bond prices and the optimal portfolio. The lag-induced state …
Persistent link: https://www.econbiz.de/10012872319
This study investigates the presence of intraday patterns in the eleven sectors of the United States (U.S.) economy. Key contributions are in terms of assessing (i) risk and return patterns at specific time periods of the trading session on the New York Stock Exchange (NYSE), (ii) whether a...
Persistent link: https://www.econbiz.de/10013231110