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Recent developments in exchange‐traded fund literature
16 references·4 citing·41 second hop
Recent developments in exchange‐traded fund literature (2013)Recent developments in exchange‐traded fu…The pricing and performance of leveraged exchange-traded funds (2010)The pricing and performance o…The Exchange‐Traded Funds Manual (2010)The Exchange‐Traded Funds Man…Exchange-traded funds, persistence in tracking errors and information dissemination (2010)Exchange-traded funds, persis…Conventional mutual index funds versus exchange-traded funds (2010)Conventional mutual index fun…The Dynamics of Leveraged and Inverse Exchange-Traded Funds (2009)The Dynamics of Leveraged and…Mixed-integer programming approaches for index tracking and enhanced indexation (2008)Mixed-integer programming app…Premiums-Discounts and Exchange Traded Funds (2006)Premiums-Discounts and Exchan…The market liquidity of DIAMONDS, Q's, and their underlying stocks (2003)The market liquidity of DIAMO…Index Mutual Funds and Exchange-Traded Funds (2003)Index Mutual Funds and Exchan…Exchange-Traded Funds: A New Investment Option for Taxable Investors (2002)Exchange-Traded Funds: A New …Day Trading International Mutual Funds: Evidence and Policy Solutions (2001)Day Trading International Mut…Arbitrage and Valuation in the Market for Standard and Poor's Depositary Receipts (2000)Arbitrage and Valuation in th…Discovering Errors in Tracking Error (1994)Discovering Errors in Trackin…Security Baskets and Index-Linked Securities (1993)Security Baskets and Index-Li…A Mean/Variance Analysis of Tracking Error (1992)A Mean/Variance Analysis of T…A Theory of Trading in Stock Index Futures (1991)A Theory of Trading in Stock …Exchange-traded funds and the future of passive investments: a bibliometric review and future research agenda (2024)Exchange-traded funds and the…Determinants of tracking error in German ETFs – the role of market liquidity (2016)Determinants of tracking erro…Are US-Dollar-Hedged-ETF investors aggressive on exchange rates? A panel VAR approach (2016)Are US-Dollar-Hedged-ETF inve…Premiums and discounts in ETFs: An analysis of the arbitrage mechanism in domestic and international funds (2014)Premiums and discounts in ETF…Option Pricing and Replication with Transactions Costs (1985)Path-Dependence of Leveraged ETF Returns (2010)Exchange-Traded Funds, Market Structure, and the Flash Crash (2012)An evolutionary heuristic for the index tracking problem (2003)Kernel Search: An application to the index tracking problem (2011)A new method for mean-variance portfolio optimization with cardinality constraints (2012)Portfolio rebalancing with an investment horizon and transaction costs (2012)The Behavior of Stock-Market Prices (1965)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Evaluating the Performance of Emerging Markets Equity Exchange-Traded Funds (2012)ICT Technologies and Financial Innovations: The Case of Exchange Traded Funds in Brazil, Japan, Mexico, South Korea and the United States (2014)Measuring the dynamics of global business cycle connectedness (2015)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Intraday Price Formation in U.S. Equity Index Markets (2003)Talk and Action: What Individual Investors Say and What They Do (2005)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS1 (1994)Factor based index tracking (2005)Index tracking with constrained portfolios (2007)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Inefficiencies in the Pricing of Exchange-Traded Funds (2017)The Persistence of Mutual Fund Performance (1992)On Persistence in Mutual Fund Performance (1997)Costly Search and Mutual Fund Flows (1998)Exchange-Traded Funds (2017)The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs) (2017)All that glitters is not gold. The rise of gaming in the COVID-19 pandemic (2020)Tax Policy and the Economy (1990)Do after-tax returns affect mutual fund inflows? (2002)Trading your neighbor’s ETFs: Competition or fragmentation? (2003)Exchange-Traded Funds 101 for Economists (2018)Information asymmetry, market segmentation and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares (1998)Price discovery on the S&P 500 index markets: An analysis of spot index, index futures, and SPDRs (1999)Illiquidity and All Its Friends (2011)On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model (1999)The Gambler's and Hot-Hand Fallacies: Theory and Applications (2009)
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References

  • 1992A Mean/Variance Analysis of Tracking Error747 cited
  • 1991A Theory of Trading in Stock Index Futures542 cited
  • 1993Security Baskets and Index-Linked Securities246 cited
  • 2002Exchange-Traded Funds: A New Investment Option for Taxable Investors245 cited
  • 2008Mixed-integer programming approaches for index tracking and enhanced indexation244 cited
  • 2006Premiums-Discounts and Exchange Traded Funds210 cited
  • 2010Conventional mutual index funds versus exchange-traded funds206 cited
  • 2009The Dynamics of Leveraged and Inverse Exchange-Traded Funds178 cited
  • 2010Exchange-traded funds, persistence in tracking errors and information dissemination161 cited
  • 1994Discovering Errors in Tracking Error145 cited
  • 2001Day Trading International Mutual Funds: Evidence and Policy Solutions142 cited
  • 2003Index Mutual Funds and Exchange-Traded Funds137 cited
  • 2003The market liquidity of DIAMONDS, Q's, and their underlying stocks125 cited
  • 2010The pricing and performance of leveraged exchange-traded funds122 cited
  • 2010The Exchange‐Traded Funds Manual121 cited
  • 2000

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Arbitrage and Valuation in the Market for Standard and Poor's Depositary Receipts
121 cited

Cited by

  • 2024Exchange-traded funds and the future of passive investments: a bibliometric review and future research agenda30 cited
  • 2016Determinants of tracking error in German ETFs – the role of market liquidity30 cited
  • 2016Are US-Dollar-Hedged-ETF investors aggressive on exchange rates? A panel VAR approach29 cited
  • 2014Premiums and discounts in ETFs: An analysis of the arbitrage mechanism in domestic and international funds27 cited