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From performativity to political economy : index investing, ETFs and asset manager capitalism

Braun, Benjamin - In: New political economy 21 (2016) 3, pp. 257-273

Persistent link: https://www.econbiz.de/10011478835

Ultra-High-Frequency Pairs Trading in Gold ETFs

Dao, Thong - 2017

Based on a large dataset of gold ETFs, we find arbitrage opportunities in the gold ETF market which can be exploited by … high-frequency traders. To our knowledge, this is the first paper to study pairs trading of gold ETFs using tick data. Able …

Persistent link: https://www.econbiz.de/10012954797

Leveraged ETF Pairs : An Empirical Evaluation of Portfolio Performance

Peterburgsky, Stanley - 2020

This paper examines the performance of investment strategies involving leveraged and inverse leveraged ETF pairs. As in Jiang and Peterburgsky's (2017) simulation analysis, the empirical analysis in this paper indicates that simple portfolios of bull/bear short positions constructed to...

Persistent link: https://www.econbiz.de/10012851147

Exchange-Traded Funds as an Alternative Investment Option : A Case Study

Afonso, António - 2018

We conduct an analysis of Exchange-traded Funds (ETFs), Index and Equity mutual funds and their respective benchmark … during the 2010-2015 period for the Portuguese fund industry. For the period 2010-2017 we test ETFs for price inefficiency … deviations of the benchmark and a better capacity of smoothing tracking deviations. Regarding ETFs price efficiency and its …

Persistent link: https://www.econbiz.de/10012931487

The active world of passive investing

Easley, David; Michayluk, David; O'Hara, Maureen; … - In: Review of finance : journal of the European Finance … 25 (2021) 5, pp. 1433-1471

Persistent link: https://www.econbiz.de/10012655107

Leveraged ETF pairs : an empirical evaluation of portfolio performance

Peterburgsky, Stanley - In: The journal of investing : JOI 30 (2021) 6, pp. 81-97

Persistent link: https://www.econbiz.de/10012656097

Hedge Fund Investment in ETFs

Cumming, Douglas J.; Monteiro, Pedro - 2022

This paper examines the causes and consequences of hedge fund investments in exchange traded funds (ETFs) using U … likely to invest in ETFs. Unexpected hedge fund inflows [outflows] cause a rise [reduction] in ETF investments, and the …

Persistent link: https://www.econbiz.de/10013293118

Arbitrage opportunities between gold exchange-traded funds

Kharma, Céline - In: Essays on exchange traded funds, market quality and …, (pp. 1-32). 2018

Finally, I further explore the topic of ETF competition in the context of arbitrage. Three perfectly substitutable ETFs … of mispricing between the three gold ETFs which create arbitrage opportunities. Increased trading pressure following the … rapid disappearance. Market volatility and the ETFs' liquidity are factors contributing to the emergence of arbitrage …

Persistent link: https://www.econbiz.de/10011962540

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

Pairs trading: is it applicable to exchange-traded funds?

Tokat, Ekin; Hayrullahoğlu, Ahmet Cevdet - In: Borsa Istanbul Review 22 (2022) 4, pp. 743-751

Among the various statistical trading strategies, pairs trading has been widely employed as a market neutral strategy owing to its simple approach and ease of application. In this context, we develop a cointegration-based pairs trading framework with a set of pre-conditions for pair eligibility...

Persistent link: https://www.econbiz.de/10013334849