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The pricing and performance of leveraged exchange-traded funds
10 references·10 citing·46 second hop
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(2018)Do leveraged ETFs really ampl…Solving the Return Deviation Conundrum of Leveraged Exchange-Traded Funds (2013)Solving the Return Deviation …Recent developments in exchange‐traded fund literature (2013)Recent developments in exchan…Leveraged and inverse ETF performance during the financial crisis (2013)Leveraged and inverse ETF per…Fixing a Leaky Fixing: Short‐Term Market Reactions to the London PM Gold Price Fixing (2013)Fixing a Leaky Fixing: Short‐…Performance of Exchange-Traded Funds in India (2012)Performance of Exchange-Trade…Fund Flows and Underlying Returns: The Case of ETFs (2011)Fund Flows and Underlying Ret…Understanding the risk of leveraged ETFs (2010)Understanding the risk of lev…Option Pricing and Replication with Transactions Costs (1985)Exchange-Traded Funds, Market Structure, and the Flash Crash (2012)Hedging demand and market intraday momentum (2021)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Liquidity and market efficiency in the world's largest carbon market (2015)Why cryptocurrency markets are inefficient: The impact of liquidity and volatility (2020)The marginal impacts of energy prices on carbon price variations: Evidence from a quantile-on-quantile approach (2021)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)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Exchange-traded funds, persistence in tracking errors and information dissemination (2010)ETF arbitrage: Intraday evidence (2013)Inefficiencies in the Pricing of Exchange-Traded Funds (2017)Does the Stock Market Overreact? 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this work references cited by second hop

References

  • 1996Do Brokerage Analysts' Recommendations Have Investment Value?1,916 cited
  • 2002The market for borrowing stock1,161 cited
  • 2007Which Shorts Are Informed?966 cited
  • 2007Are small investors naive about incentives?545 cited
  • 2004Limited arbitrage and short sales restrictions: evidence from the options markets435 cited
  • 2006Value of analyst recommendations: International evidence296 cited
  • 2006Premiums-Discounts and Exchange Traded Funds210 cited
  • 2009The Dynamics of Leveraged and Inverse Exchange-Traded Funds178 cited
  • 2010Path-Dependence of Leveraged ETF Returns177 cited
  • 2010Liquidity and market efficiency: A large sample study139 cited

Cited by

  • 2010Understanding the risk of leveraged ETFs80 cited
  • 2013Solving the Return Deviation Conundrum of Leveraged Exchange-Traded Funds79 cited
  • 2019Intraday Arbitrage Between ETFs and their Underlying Portfolios77 cited
  • 2013Recent developments in exchange‐traded fund literature44 cited
  • 2018Do leveraged ETFs really amplify late-day returns and volatility?31 cited
  • 2013

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Fixing a Leaky Fixing: Short‐Term Market Reactions to the London PM Gold Price Fixing
30 cited
  • 2012Performance of Exchange-Traded Funds in India30 cited
  • 2018Leveraged Funds and the Shadow Cost of Leverage Constraints28 cited
  • 2013Leveraged and inverse ETF performance during the financial crisis27 cited
  • 2011Fund Flows and Underlying Returns: The Case of ETFs27 cited