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Beta estimates for leveraged ETF

Author

Listed:
  • Bell, Peter N

Abstract

Leveraged 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.

Suggested Citation

  • Bell, Peter N, 2010. "Beta estimates for leveraged ETF," MPRA Paper 26950, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:26950
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    File URL: https://mpra.ub.uni-muenchen.de/26950/1/MPRA_paper_26950.pdf
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    References listed on IDEAS

    as
    1. Jarrow, Robert A., 2010. "Understanding the risk of leveraged ETFs," Finance Research Letters, Elsevier, vol. 7(3), pages 135-139, September.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Leverage ETF; CAPM; Linear Dependence;

    JEL classification:

    • G0 - Financial Economics - - General

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