Results 101 to 110 of about 622 (151)

FSA in an ETF World

SSRN Electronic Journal, 2020
This paper models the value of conducting financial statement analysis (FSA) in the presence of an electronically traded fund (ETF) that gives exposure to the firm’s systematic value. FSA is characterized as a costly process that yields a private signal about the idiosyncratic portion of a firm’s future payoffs.
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Abusing ETFs

Review of Finance, 2016
Abstract Using data from a large German brokerage, we find that individuals investing in passive exchange-traded funds (ETFs) do not improve their portfolio performance, even before transaction costs. Further analysis suggests that this is because of poor ETF timing as well as poor ETF selection (relative to the choice of low-cost ...
Bhattacharya, Utpal, Loos, Benjamin, Meyer, Steffen, Hackethal, Andreas   +3 more
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Synthetic ETFs

FEDS Notes, 2017
Exchange traded funds (ETFs) achieve their investment objectives by either owning a portfolio of securities (physical ETFs) or entering into swap agreements that deliver the returns of pre-specified indexes (synthetic ETFs). In this note, we provide an overview of how synthetic ETFs work and analyze collateralization levels for a group of synthetic ...
Sirio Aramonte, Cecilia Caglio, Tugkan Tuzun   +2 more
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The Costs of ETF Membership: Valuation Effect of ETFs on Underlying Firms

SSRN Electronic Journal, 2012
In this paper, we investigate the effect of exchange traded funds (ETFs) on the value of their underlying stocks and the channels through which ETFs have an impact on firm value. We find that ETFs negatively affect firm value but also have a positive impact on underlying stocks’ systematic volatility, short interest, and liquidity. These effects of ETF
Kee-Hong Bae, Jin Wang, Jun-Koo Kang
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Global Agricultural ETF, Energy ETF and Climate Risk

The Academic Society of Global Business Administration
This study analyzed the time-varying correlation and connectedness between agricultural and energy ETFs and climate risk (physical risk, transition risk) indices traded on the U.S. stock market from January 3, 2012 to June 30, 2025. The results of empirical analysis during the sample period are as follows.
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Cross-sectional characteristics of ETFs that affect performance of ETFs

The Korean Data Analysis Society
This study investigates how cross-sectional characteristics of ETFs affect the long-term returns of ETFs. We use tracking multiples, underlying market classification, tax type, manager, underlying index, volatility, replication method, classification system, index producer, and underlying asset class as cross-sectional characteristics, all of which are
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Active ETFs: To Be or Not to Be?

2016
Investors anxiously anticipated the debut of actively managed exchange-traded funds (ETFs) in 2008, expecting them to succeed as well as their counterparts in the mutual fund industry. In the end, the reality didn’t match the expectations, as actively managed funds are still languishing in the basement of the ETF industry.
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ESG ETFs and the COVID-19 stock market crash of 2020: Did clean funds fare better?

Finance Research Letters, 2022
Maria De Boyrie, Ivelina Pavlova
exaly  

Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs

Energy Economics, 2021
Ron Mciver, Sanghoon Kang, Perry Sadorsky   +2 more
exaly  

Liquidity risk, return performance, and tracking error: Synthetic vs. Physical ETFs

Journal of International Financial Markets, Institutions and Money, 2023
Sangik Seok, Jinhwan Kim
exaly