Results 11 to 20 of about 622 (151)
COVID-induced sentiment and the intraday volatility spillovers between energy and other ETFs [PDF]
Energy Economics, 2023 Sitara Karim +2 more
exaly +2 more sources
Two Investment Options for Bearish ETF Investors: Inverse ETF and Shorting ETF [PDF]
International Journal of Financial Studies, 2019 A high liquidity, low expense ratio and the possibility to conduct arbitrage allow exchange-traded funds (ETFs) to be used for short sales. Bearish investors can also buy inverse ETFs. This paper aims to outline two investment approaches for bearish ETF investors and the differences between these two approaches; it also aims to examine the relationship
Božena Chovancová +2 more
openaire +3 more sources
LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS [PDF]
Mathematical Finance, 2014 AbstractThe growth of the exchange‐traded fund (ETF) industry has given rise to the trading of options written on ETFs and their leveraged counterparts (LETFs). We study the relationship between the ETF and LETF implied volatility surfaces when the underlying ETF is modeled by a general class of local‐stochastic volatility models.
Leung, Tim +2 more
openaire +4 more sources
SSRN Electronic Journal, 2023 AbstractUsing marketable order flow data, we analyze key characteristics of aggregate retail exchange‐traded fund (ETF) investing from 2010 to 2021, including allocations, holding period and investment performance. Retail traders allocate 12% more dollar volume to leveraged and inverse ETFs versus nonretail traders.
David Gempesaw +2 more
openaire +1 more source
SSRN Electronic Journal, 2022 Investments in cryptocurrencies (CCs) remain risky due to high volatility. Exchange Traded Funds (ETFs) are a suitable tool to diversify risk and to benefit from the growth of the whole CC sector. We construct an ETF on the CRIX, the CRyptocurrency IndeX that maps the non-stationary CC dynamics closely by adapting its constituents weights dynamically ...
openaire +2 more sources
SSRN Electronic Journal, 2019 We document economically large momentum profits when sorting ETFs on returns over the past two to four years. A value-weighted, long-short strategy based on ETF momentum delivers Carhart (1997) four-factor alphas of up to 1.20% per month. Neither cross-sectional stock momentum nor co-variation with macroeconomic and liquidity risks can explain ETF ...
LI, Frank Weikai +2 more
openaire +1 more source
A Universal and Actionable Measure of Corporate Sustainability for Strategic Decision Making
Business Strategy and the Environment, EarlyView.ABSTRACT Managers require a universal, comparable, and decision‐useful measure of corporate sustainability that can reliably inform business strategy, yet such a tool remains absent in the literature and current practice. This paper introduces a comprehensive and operational metric—grounded in Goertz's Basic Framework for developing social science ...
Mariapia Pazienza +2 more
wiley +1 more source
Net‐Zero Investment Strategies Need an Absolute Emission Reduction Metric
Business Strategy and the Environment, EarlyView.ABSTRACT The climate crisis calls for rapid absolute reductions in greenhouse gas (GHG) emissions, requiring significant capital reallocation. In the financial industry, net‐zero investment strategies are mostly guided by relative carbon intensity (CI) metrics rather than absolute GHG emissions.
Andreas G. F. Hoepner +4 more
wiley +1 more source
Corporate Social Responsibility and Environmental Management, EarlyView.ABSTRACT Despite rapid growth in gender lens investing (GLI), substantial variation remains in how gender lens equity funds (GLEFs) integrate gender equality criteria into investment strategies. We map a universe of 43 GLEFs and develop a framework capturing gender equality screening breadth and accountability depth (fund‐level disclosure and ...
Freyja Vilborg Thorarinsdottir +3 more
wiley +1 more source
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper investigates the intricate relationship between climate policy uncertainty (CPU) and energy market dynamics, focusing on fossil‐based and renewable/low‐carbon energy assets. Utilising a comprehensive dataset spanning from April 1987 to December 2023, comprising monthly observations of CPU, stock market returns, spot oil prices and ...
Dimitrios Asteriou, Anastasia Dimiski
wiley +1 more source