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Citations for "Spiders: Where Are the Bugs?"

by Edwin J. Elton

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  1. Shank, Corey A. & Vianna, Andre C., 2016. "Are US-Dollar-Hedged-ETF investors aggressive on exchange rates? A panel VAR approach," Research in International Business and Finance, Elsevier, vol. 38(C), pages 430-438.
  2. Kenneth Small & James Wansley & Matthew Hood, 2012. "The impact of security concentration on adverse selection costs and liquidity: an examination of exchange traded funds," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(2), pages 261-281, April.
  3. Chelley-Steeley, Patricia & Park, Keebong, 2010. "The adverse selection component of exchange traded funds," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 65-76, January.
  4. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the Best Volatility Models: The Model Confidence Set Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 839-861, December.
  5. Andrew J. Patton & Michela Verardo, 2009. "Does beta move with news?: Systematic risk and firm-specific information flows," LSE Research Online Documents on Economics 24421, London School of Economics and Political Science, LSE Library.
  6. Tse, Yiuman, 2015. "Do industries lead stock markets? A reexamination," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 195-203.
  7. James M. Poterba & John B. Shoven, 2002. "Exchange-Traded Funds: A New Investment Option for Taxable Investors," American Economic Review, American Economic Association, vol. 92(2), pages 422-427, May.
  8. Hatice Dogukanli & Serkan Yilmaz Kandir, 2002. "Multi-Beta Capital Asset Pricing Model and an Application in Turkey," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 6(23), pages 1-14.
  9. Gregory H. Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
  10. Boehmer, Beatrice & Boehmer, Ekkehart, 2003. "Trading your neighbor's ETFs: Competition or fragmentation?," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1667-1703, September.
  11. Gerasimos G. Rompotis, 2011. "Predictable patterns in ETFs' return and tracking error," Studies in Economics and Finance, Emerald Group Publishing, vol. 28(1), pages 14-35, March.
  12. Patrycja Chodnicka & Piotr Jaworski, 2012. "Analyzing the market - mapping quality analysis of WIG20 by the Exchange Traded Fund, the first fun on the Polish market (Sledzac parkiet - analiza jakosci odwzorowania indeksu WIG20 przez pierwszy na," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 10(39), pages 198-205.
  13. Charteris, Ailie & Chau, Frankie & Gavriilidis, Konstantinos & Kallinterakis, Vasileios, 2014. "Premiums, discounts and feedback trading: Evidence from emerging markets' ETFs," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 80-89.
  14. Krause, Timothy & Tse, Yiuman, 2013. "Volatility and return spillovers in Canadian and U.S. industry ETFs," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 244-259.
  15. Bandi, Federico M. & Russell, Jeffrey R. & Yang, Chen, 2008. "Realized volatility forecasting and option pricing," Journal of Econometrics, Elsevier, vol. 147(1), pages 34-46, November.
  16. Elton, Edwin J. & Gruber, Martin J., 2013. "Mutual Funds," Handbook of the Economics of Finance, Elsevier.
  17. Gregory H. Bauer & Clara Vega, 2004. "The Monetary Origins of Asymmetric Information in International Equity Markets," Staff Working Papers 04-47, Bank of Canada.
  18. Laurent Deville, 2008. "Exchange Traded Funds: History, Trading and Research," Post-Print halshs-00162223, HAL.
  19. Richie, Nivine & Madura, Jeff, 2007. "Impact of the QQQ on liquidity and risk of the underlying stocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(3), pages 411-421, July.
  20. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013. "ETF arbitrage: Intraday evidence," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3486-3498.
  21. Quentin C. Chu & Mustafa Mesut Kayali, 2006. "Standard & Poor’S Depositary Receipts And The Market Quality Of S&P 500 Index Futures," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3).
  22. Agapova, Anna, 2011. "Conventional mutual index funds versus exchange-traded funds," Journal of Financial Markets, Elsevier, vol. 14(2), pages 323-343, May.
  23. Levy, Ariel & Lieberman, Offer, 2013. "Overreaction of country ETFs to US market returns: Intraday vs. daily horizons and the role of synchronized trading," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1412-1421.
  24. Susana Yu & Joel Rentzler & Kishore Tandon, 2010. "Reexamining the uncertain information hypothesis on the S&P 500 Index and SPDRs," Review of Quantitative Finance and Accounting, Springer, vol. 34(1), pages 1-21, January.
  25. Marshall, Ben R. & Cahan, Rochester H. & Cahan, Jared M., 2008. "Does intraday technical analysis in the U.S. equity market have value?," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 199-210, March.
  26. Gerasimos G. Rompotis, 2011. "ETFs vs. Mutual Funds: Evidence from the Greek Market," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 9(1), pages 67-84.
  27. repec:uts:finphd:34 is not listed on IDEAS
  28. Hilliard, Jitka, 2014. "Premiums and discounts in ETFs: An analysis of the arbitrage mechanism in domestic and international funds," Global Finance Journal, Elsevier, vol. 25(2), pages 90-107.
  29. Shin, Sangheon & Soydemir, Gökçe, 2010. "Exchange-traded funds, persistence in tracking errors and information dissemination," Journal of Multinational Financial Management, Elsevier, vol. 20(4-5), pages 214-234, December.
  30. Richard DeFusco & Stoyu Ivanov & Gordon Karels, 2011. "The exchange traded funds’ pricing deviation: analysis and forecasts," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 35(2), pages 181-197, April.
  31. S. Narend & M. Thenmozhi, 2016. "What drives fund flows to index ETFs and mutual funds? A panel analysis of funds in India," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 43(1), pages 17-30, March.
  32. Kearney, Fearghal & Cummins, Mark & Murphy, Finbarr, 2014. "Outperformance in exchange-traded fund pricing deviations: Generalized control of data snooping bias," Journal of Financial Markets, Elsevier, vol. 19(C), pages 86-109.
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