Beta estimates for leveraged ETF
AbstractLeveraged ETF are mandated to provide a multiple of the return on an index for intraday time periods. I present statistical estimates of beta for two leveraged ETF and one index at sampling rates from one to twenty five minute sampling. I find that beta is close to the leverage factor for sampling rates between ten and twenty five minutes, which suggests the assets are being well priced.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 26950.
Date of creation: 24 Nov 2010
Date of revision:
Leverage ETF; CAPM; Linear Dependence;
Find related papers by JEL classification:
- G0 - Financial Economics - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-12-04 (All new papers)
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- Jarrow, Robert A., 2010. "Understanding the risk of leveraged ETFs," Finance Research Letters, Elsevier, vol. 7(3), pages 135-139, September.
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