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ETFS – performance, tracking errors and their determinants in Europe and the USA
16 references·0 citing·42 second hop
ETFS – performance, tracking errors and their determinants in Europe and the USA (2019)ETFS – performance, tracking errors and t…Is there a dark side to exchange traded funds? An information perspective (2017)Is there a dark side to excha…Inefficiencies in the Pricing of Exchange-Traded Funds (2017)Inefficiencies in the Pricing…Exchange-Traded Funds (2017)Exchange-Traded FundsA Comprehensive Guide to Exchange-Traded Funds (ETFs) (2015)A Comprehensive Guide to Exch…What Drives ETF Flows? (2014)What Drives ETF Flows?Exchange-traded funds, liquidity and volatility (2014)Exchange-traded funds, liquid…ETF arbitrage: Intraday evidence (2013)ETF arbitrage: Intraday evide…Exchange Traded Funds and Asset Return Correlations (2012)Exchange Traded Funds and Ass…The Performance of European Index Funds and Exchange‐Traded Funds (2010)The Performance of European I…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…Arbitrage, Liquidity, and the Valuation of Exchange Traded Funds (2008)Arbitrage, Liquidity, and the…The Benchmark Index ETF Performance Problem (2004)The Benchmark Index ETF Perfo…Tracking S&P 500 Index Funds (2001)Tracking S&P 500 Index FundsDiscovering Errors in Tracking Error (1994)Discovering Errors in Trackin…Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Mutual Fund Performance: An A…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)On Persistence in Mutual Fund Performance (1997)Index Mutual Funds and Exchange-Traded Funds (2003)From performativity to political economy: index investing, ETFs and asset manager capitalism (2015)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)Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons (1987)Efficient Capital Markets: II (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)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)An evolutionary heuristic for the index tracking problem (2003)Index tracking with constrained portfolios (2007)The Persistence of Mutual Fund Performance (1992)Costly Search and Mutual Fund Flows (1998)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)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Carry Trades and Currency Crashes (2008)Do ETFs Increase Volatility? (2014)Liquidity, style investing and excess comovement of exchange-traded fund returns (2016)Intraday Arbitrage Between ETFs and their Underlying Portfolios (2019)The Limits of Arbitrage (1995)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Innovation and Informed Trading: Evidence from Industry ETFs (2020)Continuous Auctions and Insider Trading (1985)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)Big Data as a Governance Mechanism (2018)ETF Activity and Informational Efficiency of Underlying Securities (2020)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Mutual Fund Flows and Performance in Rational Markets (2004)Exchange-Traded Funds 101 for Economists (2018)The Granular Nature of Large Institutional Investors (2021)Performance comparison between exchange-traded funds and closed-end country funds (2005)Handbook of Financial Engineering (2008)
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References

  • 1989Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings1,349 cited
  • 2017Is there a dark side to exchange traded funds? An information perspective311 cited
  • 2012Exchange Traded Funds and Asset Return Correlations266 cited
  • 2010Conventional mutual index funds versus exchange-traded funds206 cited
  • 2001Tracking S&P 500 Index Funds201 cited
  • 2017Exchange-Traded Funds181 cited
  • 2010Exchange-traded funds, persistence in tracking errors and information dissemination161 cited
  • 2017Inefficiencies in the Pricing of Exchange-Traded Funds148 cited
  • 1994Discovering Errors in Tracking Error145 cited
  • 2004The Benchmark Index ETF Performance Problem120 cited
  • 2013ETF arbitrage: Intraday evidence110 cited
  • 2014What Drives ETF Flows?98 cited
  • 2008Arbitrage, Liquidity, and the Valuation of Exchange Traded Funds87 cited
  • 2014Exchange-traded funds, liquidity and volatility84 cited
  • 2015A Comprehensive Guide to Exchange-Traded Funds (ETFs)80 cited
  • 2010The Performance of European Index Funds and Exchange‐Traded Funds

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