Three Essays On Exchange Traded Funds
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Three Essays On Exchange Traded Funds
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Author :
language : en
Publisher:
Release Date : 2007
Three Essays On Exchange Traded Funds written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Exchange traded funds categories.
Three Essays On Exchange Traded Funds
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Author : Daniel Elijah Sherrill
language : en
Publisher:
Release Date : 2014
Three Essays On Exchange Traded Funds written by Daniel Elijah Sherrill and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Electronic dissertations categories.
This dissertation consists of three essays on exchange-traded funds (ETFs). The dissertation research seeks to contribute to a deeper understanding of the impact of ETFs upon the financial markets, discover insights into the realm of performance persistence, and identify the factors leading to ETF liquidations. The first essay investigates the impact that sector exchange-traded funds have upon stocks that they hold. We find that sector ETF ownership is associated with stock return comovement, especially with other industry stocks that are also held by sector ETFs. We show that sector ETF ownership is related to a muted abnormal return and trading volume reaction to earnings surprises. Even when considering other types of institutional investors, sector ETFs appear to be the main driver behind these findings. The second essay documents the existence of ETF performance persistence. This calls into question interpretations used in the mutual fund literature suggesting performance persistence is evidence of manager skill. Given their passive nature, performance persistence should not exist amongst ETFs if the sole source of this persistence is manager skill. A decomposition of performance into stock composition and industry exposure sources reveals that this persistence is attributable predominately to a fund's industry exposure. Furthermore, the underlying source of the persistence is a flow-driven return effect where fund flows place price pressure on stocks leading to persistence in fund returns. An industry flow-based explanation best accounts for positive persistence of winners while stock flow-based reasons better explain persistence of past losers. The third essay studies the determinants of ETF liquidations. Investors are subject to tax, trading, and search costs as a result of holding a liquidated fund. I find that fund size and flows are essential to a fund's survival. Larger fund families are also more likely to produce funds that will avoid liquidation. Funds that are latecomers to a trending category that subsequently underperforms are less likely to survive. Finally, I find that the average investor holding a fund with an upcoming liquidation is best served to immediately sell the liquidating fund and purchase other funds in the same category.
Three Essays On The Microstructure Of Exchange Traded Funds
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Author : Van Thuan Nguyen
language : en
Publisher:
Release Date : 2005
Three Essays On The Microstructure Of Exchange Traded Funds written by Van Thuan Nguyen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
The second essay examines competition among exchanges for order flow in ETFs. We find that ECNs dominate the market for ETFs. Besides providing superior prices to investors, ECNs also offer non-price services such as speedy execution and anonymity. Given the superior execution services on ECNs and the low adverse selection costs in ETF markets, liquidity traders also trade on ECNs. The results suggest that ECNs satisfy both liquidity and informed traders in the market for ETFs and this explains why they gain substantial order flow. We also find that quote-based competition is prevalent in the market for ETFs. Overall, our study supports the view that multimarket trading is a desirable development that helps cater to investors' diverse needs.
Three Essays On The Microstructure Of Exchange Traded Funds
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Author : Samique March
language : en
Publisher:
Release Date : 2013
Three Essays On The Microstructure Of Exchange Traded Funds written by Samique March and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Three Essays On Exchange Traded Funds
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Author : Ramabhadran Srinivasan Thirumalai
language : en
Publisher:
Release Date : 2004
Three Essays On Exchange Traded Funds written by Ramabhadran Srinivasan Thirumalai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Three Essays On Exchange Traded Funds
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Author : Maria del Carmen Marí Clérigues
language : en
Publisher:
Release Date : 2018
Three Essays On Exchange Traded Funds written by Maria del Carmen Marí Clérigues and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Three Essays On Exchange Traded Funds
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Author : Samuel Johnstone Hempel
language : en
Publisher:
Release Date : 2020
Three Essays On Exchange Traded Funds written by Samuel Johnstone Hempel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
Chapter 1 The rise of exchange-traded funds (ETFs) has attracted significant attention from investors, regulators, and academics alike. Despite the widely asserted importance of authorized participants (APs) to ETFs' structure and function, little is known about the effects of AP behavior on ETFs and ETFs' underlying assets. Using AP-identified regulatory data from FINRA, I show that APs' inventories do not affect ETF prices, contrary to past inventory literature. I find that when APs are inventory-neutral, liquidity shocks to the ETF do not transmit to the underlying assets. These results are largely unchanged in a high-volatility subsample, although there is some concern for thinly traded ETFs. In a daily panel, I show that APs' inventories are associated with their decisions to create or redeem ETF shares. These results suggest that the unique features of APs may benefit ETF market participants, especially in more liquid ETFs. Chapter 2 Exchange-traded funds (ETFs) trade throughout the day, just like their underlying securities. Yet the simple problem of knowing an ETF's underlying portfolio value during the day has been elusive in publicly available data. I develop a new regression- based method to compute the ex-post underlying portfolio value of a US passive equity ETF on an intraday basis. Using widely available data, this method improves in three ways over the most popular method to date (intraday indicative values): (1) Higher time resolution, (2) No stale prices, and (3) Visibility of the underlying bid-ask spread. I also provide a LASSO version of the method, and I validate the results using official portfolio data from the DTCC, a large central clearinghouse for ETFs and their underlying securities. Chapter 3 Leveraged exchange-traded funds (Leveraged ETFs) advertise the ability to replicate the daily return of a given index on a levered or inverse basis. These products are highly risky, and the costs of trading leveraged ETFs are quite substantial, raising questions about which types of traders would choose to use them. I use confidential regulatory data to identify institutional and retail order flow in ETFs, and I demonstrate that institutional order flow to leveraged ETFs is uninformed.
Three Essays On Equity Exchange Traded Funds
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Author : Friedrich Osterhoff
language : en
Publisher:
Release Date : 2016
Three Essays On Equity Exchange Traded Funds written by Friedrich Osterhoff and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Three Essays On Hedge Funds Governance Operational Risk And Exchange Traded Funds Investment Activities
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Author : Zheyuan Hu
language : en
Publisher:
Release Date : 2019
Three Essays On Hedge Funds Governance Operational Risk And Exchange Traded Funds Investment Activities written by Zheyuan Hu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
This dissertation is composed of three essays focusing on the study of hedge funds governance, operational risk and Exchange Traded Funds investment activities. The first essay titled "Operational Risk for Hedge Funds: The Chi-Score" utilizes Benford's law analysis to examine hedge funds behaviors. The second essay shifts the attention to the influence of local religious environments on hedge funds governance and operational behaviors. The third essay examines the influences of Exchange Traded Funds (ETF's) flows on stock prices, risk and other fundamental characteristics.
Berlusconi Silvio 1936
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Author :
language : en
Publisher:
Release Date : 1992
Berlusconi Silvio 1936 written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with categories.
Zeitungsausschnitte (1992-2000).