Evidence of Idiosyncratic Seasonality in ETFs Performance
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More about this item
Keywords
ETFs seasonality; indices seasonality; raw returns; risk-adjusted returns; tracking error; US equity.;JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2018-04-30 (Financial Markets)
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