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The Pricing Efficiency Of Leveraged Exchange-Traded Funds: Evidence From The U.S. Markets

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  • Narat Charupat
  • Peter Miu

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  • Narat Charupat & Peter Miu, 2013. "The Pricing Efficiency Of Leveraged Exchange-Traded Funds: Evidence From The U.S. Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(2), pages 253-278, June.
    • Handle: RePEc:bla:jfnres:v:36:y:2013:i:2:p:253-278
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.2013.12010.x
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    References listed on IDEAS

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    1. Locke, Peter R. & Mann, Steven C., 2005. "Professional trader discipline and trade disposition," Journal of Financial Economics, Elsevier, vol. 76(2), pages 401-444, May.
    2. Guido Giese, 2010. "On the risk-return profile of leveraged and inverse ETFs," Journal of Asset Management, Palgrave Macmillan, vol. 11(4), pages 219-228, October.
    3. Jarrow, Robert A., 2010. "Understanding the risk of leveraged ETFs," Finance Research Letters, Elsevier, vol. 7(3), pages 135-139, September.
    4. Lucy F. Ackert & Yisong S. Tian, 2000. "Arbitrage and Valuation in the Market forStandard and Poor's Depository Receipts," Financial Management, Financial Management Association, vol. 29(3), Fall.
    5. Edwin J. Elton, 2002. "Spiders: Where Are the Bugs?," The Journal of Business, University of Chicago Press, vol. 75(3), pages 453-472, July.
    6. Cushing, David & Madhavan, Ananth, 2000. "Stock returns and trading at the close," Journal of Financial Markets, Elsevier, vol. 3(1), pages 45-67, February.
    7. Charupat, Narat & Miu, Peter, 2011. "The pricing and performance of leveraged exchange-traded funds," Journal of Banking & Finance, Elsevier, vol. 35(4), pages 966-977, April.
    8. Gerasimos Georgiou Rompotis, 2010. "Does premium impact Exchange-Traded Funds’ returns? Evidence from iShares," Journal of Asset Management, Palgrave Macmillan, vol. 11(4), pages 298-308, October.
    9. Anne‐Marie Anderson & Edward A. Dyl, 2005. "Market Structure And Trading Volume," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 28(1), pages 115-131, March.
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