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Abstract In this paper, we examine the price volatility and tracking ability of four iShares™ exchange-traded funds (ETFs). We use three measures: the premium and discount position, daily return, and tracking error, compared with conventional index mutual funds tracking the same index. Our...
Abstract Using a complete sample of US equity options, we find a positive, highly significant relationship between stock returns and lagged implied volatilities. The results are robust after controlling for a number of factors such as firm size, market valuation, analyst recommendations and...
Abstract The performance potential of forecasting-based tactical asset allocation strategies is difficult to assess. The fundamental law of active management suggests that the value added through active investment decisions depends on the forecasting quality and the number of independent...
Abstract This article constitutes a comprehensive study of 20 foreign country exchange traded funds (ETFs) and the underlying index returns from 1997 to 2006. The purpose of the study is to explain the existence of tracking errors between foreign ETFs and the underlying home index on a daily and...
Abstract We provide evidence on the debate of ‘Exchange traded funds (ETFs) versus Index Funds’ using data of ETFs and index funds belonging to the same investing family. Data used involve the Vanguard funds and results indicate that ETFs and index funds present, on average, similar return and...
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