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Arbitrage and Valuation in the Market for Standard and Poor's Depositary Receipts
16 references·16 citing·45 second hopsampled
Arbitrage and Valuation in the Market for Standard and Poor's Depositary Receipts (2000)Arbitrage and Valuation in the Market for…Do Measures of Investor Sentiment Predict Returns? (1998)Do Measures of Investor Senti…Time-Varying Expected Small Firm Returns and Closed-End Fund Discounts (1996)Time-Varying Expected Small F…Costly Arbitrage: Evidence from Closed-End Funds (1996)Costly Arbitrage: Evidence fr…The Limits of Arbitrage (1995)The Limits of ArbitrageClosed-end fund premia and returns implications for financial market equilibrium (1995)Closed-end fund premia and re…Yes, Discounts on Closed-End Funds Are a Sentiment Index (1993)Yes, Discounts on Closed-End …Are the Discounts on Closed-End Funds a Sentiment Index? 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(1985)Introduction: epistemic communities and international policy coordination (1992)Postwar U.S. Business Cycles: An Empirical Investigation (1997)
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References

  • 1936The General Theory of Employment, Interest and Money.14,486 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1990The Noise Trader Approach to Finance1,636 cited
  • 1984Stock Prices and Social Dynamics1,615 cited
  • 1991Investor Sentiment and the Closed-End Fund Puzzle1,508 cited
  • 1978Some anomalous evidence regarding market efficiency1,419 cited
  • 1996Costly Arbitrage: Evidence from Closed-End Funds801 cited
  • 1998Do Measures of Investor Sentiment Predict Returns?516 cited
  • 1977THE VALUATION OF CLOSED‐END INVESTMENT‐COMPANY SHARES372 cited
  • 1988Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices350 cited
  • 1993Are the Discounts on Closed-End Funds a Sentiment Index?265 cited
  • 1973AN INVESTOR EXPECTATIONS STOCK PRICE PREDICTIVE MODEL USING CLOSED‐END FUND PREMIUMS262 cited
  • 1996Time-Varying Expected Small Firm Returns and Closed-End Fund Discounts216 cited
  • 1995Closed-end fund premia and returns implications for financial market equilibrium192 cited
  • 1993Yes, Discounts on Closed-End Funds Are a Sentiment Index

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172 cited

Cited by

  • 2008Handbook of Financial Engineering118 cited
  • 2013ETF arbitrage: Intraday evidence110 cited
  • 2008Exchange Traded Funds: History, Trading, and Research101 cited
  • 2008Arbitrage, Liquidity, and the Valuation of Exchange Traded Funds87 cited
  • 2007Hedging index exchange traded funds82 cited
  • 2013Solving the Return Deviation Conundrum of Leveraged Exchange-Traded Funds79 cited
  • 2006On the premiums of iShares75 cited
  • 2011The Effect of ETFs on Stock Liquidity73 cited
  • 2007Effectiveness of Minimum-Variance Hedging66 cited
  • 2012Overreaction of country ETFs to US market returns: Intraday vs. daily horizons and the role of synchronized trading56 cited
  • 2008An analysis of the spillover effects of exchange-traded funds52 cited
  • 2008The limits to stock index arbitrage: Examining S&P 500 futures and SPDRS49 cited
  • 2006Impact of the QQQ on liquidity and risk of the underlying stocks48 cited
  • 2010Exchange-traded funds in bullish and bearish markets47 cited
  • 2013Recent developments in exchange‐traded fund literature44 cited
  • 2006Pricing efficiency of exchange traded funds in Taiwan38 cited