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On the premiums of iShares
16 references·13 citing·34 second hop
On the premiums of iShares (2006)On the premiums of iSharesTime‐Varying World Market Integration (1995)Time‐Varying World Market Int…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …The World Price of Covariance Risk (1991)The World Price of Covariance…Investor Sentiment and the Closed-End Fund Puzzle (1991)Investor Sentiment and the Cl…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Positive Feedback Investment …Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Stock Prices and Social Dynamics (1984)Stock Prices and Social Dynam…International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)A new approach to decompositi…The General Theory of Employment, Interest and Money. (1936)The General Theory of Employm…The General Theory of Employment, Interest and Money. 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this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1936The General Theory of Employment, Interest and Money.14,486 cited
  • 1936The General Theory of Employment, Interest and Money.12,562 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1936The General Theory of Employment, Interest and Money, by John Maynard Keynes6,220 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1990Positive Feedback Investment Strategies and Destabilizing Rational Speculation2,197 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1984Stock Prices and Social Dynamics1,615 cited
  • 1991Investor Sentiment and the Closed-End Fund Puzzle1,508 cited
  • 1983

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International Portfolio Choice and Corporation Finance: A Synthesis
1,447 cited
  • 1991The World Price of Covariance Risk1,139 cited
  • Cited by

    • 2009Price volatility and tracking ability of ETFs71 cited
    • 2012Overreaction of country ETFs to US market returns: Intraday vs. daily horizons and the role of synchronized trading56 cited
    • 2010Exchange-traded funds in bullish and bearish markets47 cited
    • 2009Tracking errors of exchange traded funds46 cited
    • 2013Recent developments in exchange‐traded fund literature44 cited
    • 2015Improving international diversification benefits for US investors35 cited
    • 2017Pricing efficiency of Bitcoin Trusts32 cited
    • 2018ETF Premiums and Liquidity Segmentation32 cited
    • 2016Determinants of tracking error in German ETFs – the role of market liquidity30 cited
    • 2013Analysis of DJIA, S&P 500, S&P 400, NASDAQ 100 and Russell 2000 ETFs and their influence on price discovery28 cited
    • 2012On the dynamics of tracking indices by exchange traded funds in the presence of high volatility27 cited
    • 2014Premiums and discounts in ETFs: An analysis of the arbitrage mechanism in domestic and international funds27 cited
    • 2011Fund Flows and Underlying Returns: The Case of ETFs27 cited