Relevant bibliographies by topics / Exchange Traded Funds-ETF

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  1. Journal articles
  2. Dissertations / Theses
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  4. Book chapters

Academic literature on the topic 'Exchange Traded Funds-ETF'

Author: Grafiati
Published: 10 September 2021
Last updated: 7 February 2022

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Journal articles on the topic "Exchange Traded Funds-ETF"

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PETROVA, Elitsa. "A brief overview of the types of ETFs." Annals of "Spiru Haret". Economic Series 15, no. 3 (September 30, 2015): 39. http://dx.doi.org/10.26458/1534.

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Exchange-traded fund is a type of exchange-traded product. ETF is a fund that is traded as a typical financial asset. Just like an index fund, ETF represents a basket of assets that reflect popular stock index. ETF traded just like any other company on the stock exchange. By owning ETF investor receives two important advantages – the diversification of index fund plus the flexibility of trading financial assets. There are different types of ETFs. Mainly divided into index, commodity, bond, currency, exchange-traded trusts and leveraged exchange-traded funds. The article discusses the basics of exchange-traded fund, does a brief history review on the emergence of exchange-traded funds, and provides information on the basic and specific types of exchange-traded funds.The used scientific tools include:study of scientific literature;study the performance of different markets which operate with exchange-traded funds;meaningful analysis and summary of theoretical and practical applied information.
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E, Geetha, Iqbal Thonse Hawaldar, Vidya Bai G, Suhan Mendon, and Rajesha Thekkekutt Mathukutti. "Are global Exchange Traded Fund pretentious on exchange rate fluctuation? A study using GARCH model." Investment Management and Financial Innovations 17, no. 4 (December 17, 2020): 356–66. http://dx.doi.org/10.21511/imfi.17(4).2020.30.

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Investors invest in a foreign market to reap the benefits of currency differences. The change in the value of underlying assets affects these hedged funds and, at the same time, restricts investors from higher return possible in unhedged funds. This study aims to examine the performance of most actively traded shares in Exchange Traded Fund and any influence, along with tracking the information from the index. This study also analyzes the currency fluctuation and its impact on returns and volatility of ETF and index. The equity ETF, which tracks NASDAQ (NDX 100), is chosen for the study, and the data analysis is carried out using statistical methods such as correlation, regression, and GARCH model. The study utilizes the currency rate data from 2013 to 2018 of USD, GBP, and INR and examines its effect on the NDX (NASDAQ). The study emphasizes whether the ETF as a basket of securities is insensitive to currency rate fluctuations. It is found that the response of ETF to the currency movements is likely due to its underlying index. The study concludes that Motilal Oswal shares in NASDAQ 100 ETF are highly sensitive to the NDX 100 movements; thus, there is no direct impact between ETF and index performance through exchange rate fluctuation.
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Tarassov, Evgeni. "Exchange Traded Funds (ETF): history, mechanism, academic literature review and research perspectives." Journal of Corporate Finance Research / Корпоративные Финансы | ISSN: 2073-0438 10, no. 2 (July 1, 2016): 89–108. http://dx.doi.org/10.17323/j.jcfr.2073-0438.10.2.2016.89-108.

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Evgeny Borisovich Tarasov - National Research University "Higher School of Economics". E-mail: etarasov@hse.ru Prior to March of 2016, when the first exchange traded fund (ETF) on RTS was introduced, Russian investors’ only option for investing in the domestic index was through a mutual fund. By contrast, the majority world stock exchanges have been giving their clients the option to invest in their leading domestic indexes not only via index mutual funds but also via exchange traded funds (ETF) since decades. Their absence and therefore the lake of familiarity with these funds might be one of the several reasons Russian investors have been willing to pay a premium for ETF investments through intermediaries relative to what they would pay investing directly. Large number of investors buy western ETF via mutual funds. The premiums Russian mutual funds charge for investing in ETFs translate on up to a 36% premium over a 10-year horizon, compared to buying the same ETF directly. This paper introduces to a broader Russian speaking community ETFs, one of the most important financial innovations of the last 20 years, and provides a survey of the research done in this field. This paper reviews the literature on ETFs and provides a brief history of ETFs and these funds’ investment mechanism. In conclusion, some ideas for further research are suggested.The existing paper are divvied in three groups that unite six topics:The first group of literature is devoted to traditional ETF. There are two topics:1. Is the ETF substitute for index mutual funds? If yes, to which level? If it is substitute, why it did not still the index funds?2. Which influence has the introduction of an ETF on the active that it tracks. This topic covers also liquidity, hedge and arbitrage. Second group of papers emerging recently unites the following topics:3. How effective are the ETF tracking the foreign indexes?4. ETF development besides USA. 5. ETF that track not the share indexes. New generation ETF: synthetic, leveraged, actively managed and smart-beta.Third group of papers devoted to the following topic:6. ETF use for optimal portfolio construction.
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Lettau, Martin, and Ananth Madhavan. "Exchange-Traded Funds 101 for Economists." Journal of Economic Perspectives 32, no. 1 (February 1, 2018): 135–54. http://dx.doi.org/10.1257/jep.32.1.135.

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Exchange-traded funds (ETFs) represent one of the most important financial innovations in decades. An ETF is an investment vehicle, with a specific architecture that typically seeks to track the performance of a specific index. The first US-listed ETF, the SPDR, was launched by State Street in January 1993 and seeks to track the S&P 500 index. It is still today the largest ETF by far, with assets of $178 billion. Following the introduction of the SPDR, new ETFs were launched tracking broad domestic and international indices, and more specialized sector, region, or country indexes. In recent years, ETFs have grown substantially in assets, diversity, and market significance, including substantial increases in assets in bond ETFs and so-called “smart beta” funds that track certain investment strategies often used by actively traded mutual funds and hedge funds. In this paper, we begin by describing the structure and organization of exchange-traded funds, contrasting them with mutual funds, which are close relatives of exchange-traded funds, describing the differences in how ETFs operate and their potential advantages in terms of liquidity, lower expenses, tax efficiency, and transparency. We then turn to concerns over whether the rise in ETFs may raise unexpected risks for investors or greater instability in financial markets. While concerns over financial fragility are worth serious consideration, some of the common concerns are overstated, and for others, a number of rules and practices are already in place that offer a substantial margin of safety.
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Ivanov, Stoyu I. "Intraday analysis of currency ETFs." International Journal of Managerial Finance 11, no. 4 (September 7, 2015): 438–50. http://dx.doi.org/10.1108/ijmf-10-2014-0161.

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Purpose – The purpose of this paper is to find if erosion of value exists in grantor trust structured exchange traded funds. The author examines the performance of six currency exchange traded funds’ tracking errors and pricing deviations on intradaily-one-minute interval basis. All of these exchange traded funds are grantor trusts. The author also studies which metric is of more importance to investors in these exchange traded funds by examining how these performance metrics are related to the exchange traded funds’ arbitrage mechanism. Design/methodology/approach – The Australian Dollar ETF (FXA) is designed to be 100 times the US Dollar (USD) value of the Australian Dollar, the British Pound ETF (FXB) is designed to be 100 times the USD value of the British Pound, the Canadian Dollar ETF (FXC) is designed to be 100 times the USD value of the Canadian Dollar, the Euro ETF (FXE) is designed to be 100 times the USD value of the Euro, the Swiss Franc ETF (FXF) is designed to be 100 times the USD value of the Swiss Franc and the Japanese Yen ETF (FXY) is designed to be 10,000 times the USD value of the Japanese Yen. The author uses these proportions to estimate pricing deviations. The author uses a moving average model based on an Elton et al. (2002) to estimate if tracking error or pricing deviation are more relevant in ETF arbitrage and thus to investors. Findings – The author documents that the average intradaily tracking errors for the six currency ETFs are relatively small and stable. The tracking errors are highest for the FXF, 0.000311 percent and smallest for FXB, −0.000014 percent. FXB is the only ETF with a negative tracking error. All six ETFs average intradaily pricing deviations are negative with the exception of the FXA pricing deviation which is a positive $0.17; the rest of the ETFs pricing deviations are −0.3778 for FXB, −0.3231 for FXC, −0.2697 for FXC, −0.2697 for FXE, −0.6484 for FXF and −0.9273 for FXY. All exhibit skewness, kurtosis, very high levels of positive autocorrelation and negative trends, which suggests erosion of value. The author also found that these exchange traded funds’ arbitrage mechanism is more closely related to the exchange traded funds’ pricing deviation than tracking error. Research limitations/implications – The paper uses high-frequency one-minute interval data in the analysis of pricing deviation which might be artificially deflating standard errors and thus inflating the t-test significance values. Originality/value – The paper is relevant to ETF investors and contributes to the continuing search in the finance literature of better ETF performance metric.
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Afonso, António, and Pedro Cardoso. "Exchange-traded funds as an alternative investment option." Notas Económicas, no. 48 (June 14, 2019): 7–37. http://dx.doi.org/10.14195/2183-203x_48_1.

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We conduct an analysis of Exchange-traded Funds (ETFs), Index and Equity mutual funds and their respective benchmark during the 2010-2015 period for the Portuguese fund industry. For the period 2010-2017, we test ETFs for price inefficiency (existence of deviations between prices and the Net Asset Value) and persistence. We find that the studied ETF does not always outperform index funds in replicating the variations of the PSI 20 index, despite exhibiting better tracking ability when facing downside deviations of the benchmark and a better capacity of smoothing tracking deviations. Regarding ETFs price efficiency and its persistence, the study reveals that the examined ETF is priced at a low average discount with evidence of deviations persistence of at least two days. The investment schemes with the highest ability to track the PSI 20 Index were PSI20 (ETF), BBVA PPA Índice PSI20, and the equity mutual fund BPI Portugal.
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Reddy, Y. V., and Pinkesh Dhabolkar. "Pricing Efficiency of Exchange Traded Funds in India." Organizations and Markets in Emerging Economies 11, no. 1 (May 29, 2020): 244–68. http://dx.doi.org/10.15388/omee.2020.11.33.

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Exchange traded funds (ETFs) have two prices, the market price and the net asset value (NAV) price. ETFs NAV price gets determined by the net value of the constituent assets, whereas the market price of ETFs depends upon the number of units bought or sold on the stock exchange during trading hours. As per the law of one price, the NAV and market price of the ETF should be the same. However, due to demand and supply forces, the market price may divert from its NAV. This price difference may have significant repercussions to investors, as it represents a cost if they buy overvalued ETF shares or sell undervalued ETF shares. Pricing efficiency is the speed at which the market makers correct the deviations between ETFs NAV and market price. The present study attempts to investigate the pricing efficiency of Indian equity ETFs employing an autoregression model over its price deviation, and also attempts to understand the lead-lag relationship between the price and NAV using the vector error correction model (VECM).
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Matarutse, Justice. "Volatility characteristics of stocks underlying Exchange Traded Funds in South Africa." Journal of Economics and Behavioral Studies 6, no. 10 (October 30, 2014): 829–39. http://dx.doi.org/10.22610/jebs.v6i10.542.

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Exchange Traded Funds (ETFs), since their inception, are now taking a foothold in emerging markets. The study measures price volatility in ETFs and their underlying stocks before and after ETF inception so as to provide new evidence of the volatility implications of ETFs for financial markets. The analysis focuses on the Johannesburg Stock Exchange (JSE) SatrixTop40 ETF and its components using an EGARCH (1, 1) model. The analysis focuses on leverage effects, absolute size of volatility innovations and volatility persistence, and concludes that these volatility characteristics have changed and/or increased after the Satrix Top40 ETF introduction on the JSE.
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Akhigbe, Aigbe, Bhanu Balasubramnian, and Melinda Newman. "Exchange Traded Funds and the likelihood of closure." American Journal of Business 35, no. 3/4 (June 23, 2020): 105–27. http://dx.doi.org/10.1108/ajb-07-2019-0054.

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PurposeThough exchange-traded funds (ETFs) are similar to mutual funds, we identify several reasons how they are different based on their structure and trading characteristics. Therefore, we argue that the determinants of fund closure decisions for ETFs will not be the same as the mutual funds. We systematically explore those factors.Design/methodology/approachWe use Cox Proportional Hazard model, which is considered a superior method, over the logistic regression models. All previous studies are based on logistic regressions.FindingsWe investigate the closure rate of ETFs over the 1995–2018 sample period. We find that the first three years are the most critical period for the survival of ETFs. Our full sample results show that early fund performance, the investment style of the fund, the expense ratio and fund family size are the most relevant factors influencing the likelihood of closure. When we consider equity-only funds, we find that key factors that influence fund closure are early fund performance, the expense ratio, failure to grow the fund's assets relatively quickly and the equity investment category of the fund.Research limitations/implicationsTracking error could be a significant factor. However, we have several missing values in the data. Therefore, we are forced to drop that variable. However, we use the SD of daily returns in lieu of that. Similarly, we were constrained by the availability of data for the equity style box scores.Practical implicationsOur study suggests that individual investors will be better off by investing in ETFs that are at least three-year to four-year old. If individuals want to invest in ETFs from the date of inception, the probability of survival is higher for an ETF within a larger fund family.Social implicationsHopefully, our research will attract the attention of CFPB and provide a warning to individual investors when they choose to invest in ETFs. More and more ETFs are getting included in retirement savings. So, abrupt ETF closures are likely to have large social implications for the future.Originality/valueWe are the first to use Cox Proportional Hazard model. We base our arguments from latest research on ETFs that the one earlier paper on ETF closure has missed. So, we examine the issue in a more systematic way.
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CHANG, CHIA-LIN, and YU-PEI KE. "TESTING PRICE PRESSURE, INFORMATION, FEEDBACK TRADING, AND SMOOTHING EFFECTS FOR ENERGY EXCHANGE TRADED FUNDS." Annals of Financial Economics 09, no. 02 (September 2014): 1440006. http://dx.doi.org/10.1142/s2010495214400065.

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This paper examines the relationships between flows and returns for five exchange traded funds (ETF) in the U.S. energy sector. Four alternative hypotheses are tested, including the price pressure hypothesis, information (or price release) hypothesis, feedback trading hypothesis, and smoothing hypothesis. The five ETF are the Energy Select Sector SPDR Fund (XLE), iShares U.S. Energy ETF (IYE), iShares Global Energy ETF (IXC), Vanguard Energy ETF (VDE), and PowerShares Dynamic Energy Exploration & Production Portfolio (PXE). A vector autoregressive (VAR) model is used to analyze the relationships between energy flows and returns. The empirical results show that energy ETF flows and subsequent returns have a negative relationship, thereby supporting the smoothing hypothesis. Moreover, the smoothing effect exists for XLE and IYE during the global financial crisis. Regardless of whether the whole sample period or the sub-samples before, during and after the global financial crisis are used, no evidence is found in support of the price pressure hypothesis, information hypothesis, or feedback trading hypothesis.
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Dissertations / Theses on the topic "Exchange Traded Funds-ETF"

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March, Samique. "Three Essays on the Microstructure of Exchange Traded Funds." FIU Digital Commons, 2013. http://digitalcommons.fiu.edu/etd/1011.

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Exchange traded funds (ETFs) have increased significantly in popularity since they were first introduced in 1993. However, there is still much that is unknown about ETFs in the extant literature. This dissertation attempts to fill gaps in the ETF literature by using three related essays. In these three essays, we compare ETFs to closed ended mutual funds (CEFs) by decomposing the bid-ask spread into its three components; we look at the intraday shape of ETFs and compare it to the intraday shape of equities as well as examine the co-integration factor between ETFs on the London Stock Exchange and the New York Stock Exchange; we also examine the differences between leveraged ETFs and unleveraged ETFs by analyzing the impact of liquidity and volatility. These three essays are presented in Chapters 1, 2, and 3, respectively. Chapter one uses the Huang and Stoll (1997) model to decompose the bid-ask spread in CEFs and ETFs for two distinct periods—a normal and a volatile period. We show a higher adverse selection component for CEFs than for ETFs without regard to volatility. However, both ETFs and CEFs increased in magnitude of the adverse selection component in the period of high volatility. Chapter two uses a mix of the Werner and Kleidon (1993) and the Hupperets and Menkveld (2002) methods to get the intraday shape of ETFs and analyze co-integration between London and New York trading. We find two different shapes for New York and London ETFs. There also appears to be evidence of co-integration in the overlapping two-hour trading period but not over the entire trading day for the two locations. The third chapter discusses the new class of ETFs called leveraged ETFs. We examine the liquidity and depth differences between unleveraged and leveraged ETFs at the aggregate level and when the leveraged ETFs are classified by the leveraged multiples of -3, -2, -1, 2, and 3, both for a normal and a volatile period. We find distinct differences between leveraged and unleveraged ETFs at the aggregate level, with leveraged ETFs having larger spreads than unleveraged ETFs. Furthermore, while both leveraged and unleveraged ETFs have larger spreads in high volatility, for the leveraged ETFs the change in magnitude is significantly larger than for the unleveraged ETFs. Among the multiples, the -2 leveraged ETF is the most pronounced in its liquidity characteristics, more so in volatile times.
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Bromé, Niklas, and Therese Möllevinge. "EXCHANGE TRADED FUNDS : en analys av tre svenska börshandlade fonders prestation i förhållande till aktivt förvaltade Sverigefonder." Thesis, Uppsala University, Department of Business Studies, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-113636.

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Utifrån en historisk jämförelse av de tre äldsta svenska ETFerna undersöker vi huruvida svensknoterade ETFer är en bättre placeringsstrategi än aktivt förvaltade Sverigefonder. Studien genomförs med de fyra utvärderingsmåtten Sharpe Ratio, Treynor Ratio, Jensen’s alfa samt Information Ratio för att se om ETFer ger högre riskjusterad avkastning än jämförbara aktivt förvaltade Sverigefonder. De tre ETFerna, XACT OMXS30, XACT OMXSB och XACT OMXSBULL jämförs mot samtliga aktivt förvaltade Sverigefonder som har som strategi att investera i stora bolag listade på Stockholmsbörsen. Samtliga utvärderingsmått ger tvetydiga resultat men två av de undersökta ETFerna visar sig ha genererat högre riskjusterad överavkastning än de jämförda fonderna. ETFernas överavkastning kan inte statistiskt säkerställas och bör därför tolkas med försiktighet. Vår undersökning indikerar dock att det kan vara mer fördelaktigt för privata investerare som värdesätter hög likviditet och aktierelaterade egenskaper att investera i ETFer framför aktivt förvaltade fonder.

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Oubenal, Mohamed. "Le processus social de légitimation des produits financiers. Le cas des Exchange Traded Funds (ETF) en France." Thesis, Paris 9, 2013. http://www.theses.fr/2013PA090021.

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L’objectif de cette thèse est d’étudier le processus social de légitimation des produits financiers en prenant comme exemple le développement des Exchange Traded Funds (ETF) en France. En dépit de la complexification de leur « dispositif de calcul » les encours des ETF ont connu une progression rapide. L'essor de ces innovations s'explique par l'effort de légitimation entrepris par les promoteurs. Contrairement à l'approche néo-institutionnaliste qui se focalise sur la dimension cognitive, nous partons des interdépendances pour comprendre le processus social de légitimation. Nous étudions ce processus en combinant une enquête ethnographique fondée sur des entretiens semi-directifs et des observations non-participantes avec une analyse du réseau social d'échange d'information entre les marketeurs, les traders, les journalistes, les investisseurs et les académiques. Nous montrons qu'il existe une « niche sociale » où des acteurs-promoteurs coopèrent entre eux. Ils relaient, auprès des diffuseurs d'information que sont les journalistes, un discours fondé sur les dimensions positives de leur innovation. Ils s'appuient, pour cela, sur le « contrôle social » qu'ils exercent sur la presse économique. Enfin, ces promoteurs s'associent à l'institut de recherche en finance Edhec-Risk afin de fonder la légitimité de leurs produits sur le statut académique de ce partenaire
The focus of this thesis is to study the social process of legitimizing financial products, focusing primarily on Exchange Traded Funds (ETFs) in France. Despite the complex nature of their « calculative device », ETFs have grown rapidly. This can be explained through promoters’ legitimizing efforts. Unlike neo-institutional theory which focuses on the cognitive dimension, this will emphasize the role of interdependencies and relationships in studying legitimizing efforts. This study is based on ethnographic research with semi-structured interviews and non-participant observations during conferences. We combine this qualitative research method with quantitative analysis of the network of information exchanged between marketers, traders, journalists, investors, regulators and academics. We evidence the existence of a « social niche » where competitors cooperate. The promoters exert social control on financial journalists to relay the positive aspects of their financial products. They also collaborate with EDHEC-Risk Institute to benefit from its academic status and gain more legitimacy
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Ruggins, Sarah Marie Elizabeth. "Building blocks : a historical sociology of the innovation and regulation of exchange traded funds in the United States, 1970-2000." Thesis, University of Edinburgh, 2018. http://hdl.handle.net/1842/29505.

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Between 1993 and 2016, the U.S. exchange traded fund (ETF) market has proliferated from one product worth $6.5 million USD to 1,455 products worth over $2 trillion USD. Despite its dramatic growth, the ETF market has yet to be the subject of sociological inquiry even though fields such as the social studies of finance have begun examining the origins of index derivatives (Millo 2007), options (MacKenzie 2006), hedge funds (Hardie and MacKenzie 2007), and foreign exchange markets (Knorr Cetina and Bruegger 2002). Thus, the purpose of this dissertation is to provide the first historical sociology of ETF innovation in the United States, using an approach inspired by the social studies of finance. This project empirically traces the emergence of the ETF by compiling an account of precursory strategies, concept development, regulatory negotiations, and early product marketing. The concept of agencement is used to frame the historical narrative of the ETF as a product of two distinct assemblages that formed in the U.S. between 1970 and 2000: first, the socio-technical integration between humans and their technologies that affected trading strategies, and second, the collaborative relationships that were formed between innovators and regulators. The mixed qualitative research consists of 36 interviews triangulated with archival records, documents sourced through Freedom of Information Act requests, private collections, and government files. Concluding analysis suggests that strategies foreshadowing the ETF began to emerge as early as the 1970s, and innovator-regulator collaborations were integral to early product qualification - a process not yet explored in literature on financial regulation.
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Faria, J??nior Jos?? Raymundo de. "Diversifica????o internacional de investimentos com a utiliza????o de Exchange-Traded Fund e Purchasing Managers' Index." FECAP - Faculdade Escola de Com??rcio ??lvares Penteado, 2014. http://132.0.0.61:8080/tede/handle/tede/362.

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The objective of this research is to propose for high income Brazilian investors a model of dynamic allocation with international diversification that uses ETFs and the PMI manufacturing index. ETFs were selected from twelve countries, including the ETF equities in Brazil, EWZ. The portfolios were created with and without the EWZ and two procedures were adopted to weight the assets: (1) maximization of the Sharpe ratio and (2) allocation based on the proportion of GDP. An alternative method of selection of assets was presented, using the PMI manufacturing index as a decision filter for the allocation of the resources. The PMI is usually published on the first business day of each month, is researched in the major countries and is one of the first, if not the first, leading indicator of the economic cycle. When the PMI signaled economic growth, the portfolio consisted of a higher proportion of equities. To evaluate the performance of the proposed portfolio, it was compared to other three global portfolios that followed classical allocation strategies, and one of these was considered a benchmark. The proposed portfolio was also compared to a benchmark created exclusively with brazilian assets. The result suggests that the use of PMI as a decision filter in an active and internationally diversified portfolio using only foreign ETFs and weighted according to the techniques of Modern Portfolio Theory presented higher total return and Generalized Sharpe Ratio than the international and brazilian benchmarks. This result suggests that Brazilian and foreign investors and managers who adopt active management of their portfolios should include PMI as one of the indicators to be observed in the allocation strategy
O objetivo desta pesquisa ?? propor para os investidores brasileiros de alta renda um modelo de aloca????o din??mica com diversifica????o internacional que utiliza ETFs e o ??ndice PMI da manufatura. Foram selecionados ETFs de doze pa??ses, incluindo o ETF de renda vari??vel do Brasil, o EWZ. Foram criadas carteiras com e sem o EWZ e adotados dois procedimentos para ponderar os ativos: (1) maximiza????o do ??ndice de Sharpe e (2) aloca????o com base na propor????o do PIB. Foi apresentado um m??todo alternativo de sele????o de ativos, utilizando o ??ndice PMI da manufatura como filtro de decis??o para a aloca????o dos recursos. O PMI ?? divulgado, em geral, no primeiro dia ??til de cada m??s, ?? pesquisado nos principais pa??ses e ?? um dos primeiros, se n??o o primeiro, indicador antecedente do ciclo econ??mico. Quando o PMI sinalizou crescimento econ??mico, a carteira foi composta por maior propor????o de ativos de renda vari??vel. Para avalia????o da performance da carteira proposta, a mesma foi comparada a outras tr??s carteiras globais que seguiram estrat??gias cl??ssicas de aloca????o, sendo que uma destas foi considerada benchmark. A carteira proposta tamb??m foi comparada a um benchmark criado com ativos exclusivamente brasileiros. O resultado obtido sugere que o uso do PMI como filtro de decis??o em uma carteira ativa e diversificada internacionalmente usando somente ETFs estrangeiros e ponderados de acordo com as t??cnicas da Moderna Teoria de Portf??lio apresentou retorno total e ??ndice de Sharpe generalizado superiores ao benchmark internacional e ao benchmark brasileiro. Este resultado sugere que os investidores e os gestores brasileiros e estrangeiros que adotam a gest??o ativa de seus portf??lios poderiam incluir o PMI como um dos indicadores a serem observados na estrat??gia de aloca????o
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Ribeiro, Eduardo Franco. "Uma contribuição à diversificação internacional de portifólios: um estudo dos fundos de índice negociados em bolsa - os ETF S "Exchange Traded Funds"." Pontifícia Universidade Católica de São Paulo, 2008. https://tede2.pucsp.br/handle/handle/1714.

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The phenomenom wich narrows and puts closer international relations around the world known as globalization has reached the development of financial markets. The Exchange Traded Funds (ETF´s) have also been involved on this process. Globalization has brought a wide exposure to international markets creating opportunities in several asset classes with lower costs and minimal investments, thus making ETF´s an extremely attractive product. This paper intends to show how ETF´s works, its creation, redemption and dealing process since such investment funds are still unknow to Brazilian investors. In addition, international portfolios will be built with ETF´s indexed cross-country equity markets, the main objective is check if a Brazilian investor may optimize his portfolio comparing international portfolios built with the brazilian asset market given by the EWZ fund
O fenômeno que estreita e aproxima as relações internacionais nos mais diversos níveis e cuja expressão globalização foi cunhada para nomeá-lo, também alcança os mercados financeiros. Os fundos de índice negociados em bolsa de valores conhecidos como ETF´s (exchange traded funds) encontram-se dentro desse processo. A possibilidade de obter exposições em diversos mercados internacionais e nas mais diversas classes de ativos a custos relativamente baixos e valores mínimos para investimento seja talvez um dos principais atrativos desse novo produto financeiro. Dessa forma, o presente trabalho pretende mostrar a criação e o funcionamento desses fundos, que ainda são pouco conhecidos no Brasil. E, a partir daí, montar carteiras internacionais, com fundos ETF indexados ao mercado de ações de diversos países, compará-las com o ativo de mercado brasileiro em dólares americanos, tentando verificar se o investidor brasileiro conseguiria otimizar a relação risco x retorno de seu portfólio por meio da diversificação com ETF´s
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7

Lindahl, Douglas, and Anders Wallstedt. "Spelar storleken roll? : En studie på ETF:er och dess underliggande kapitalvärde." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-145118.

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Börshandlade fonder (ETF:er) blir alltmer populära som spar- och investeringsalternativ. Antalet ETF:er och variationen av dessa ökar stadigt. Denna studie ser på ETF:er likställda aktier (ur ett värdepappersperspektiv) och syftar till att applicera momentumstrategier på den amerikanska ETF-marknaden, likt Jegadeesh och Titman (1993), för att testa sambandet mellan ETF:ers kapitalvärde och riskjusterad överavkastning, estimerat genom Jensens alfa. Med utgångspunkt från Banz (1981) som visar på samband mellan investeringar i småbolagsaktier och högre riskjusterad avkastning (än motsvarande investeringar i stora bolags aktier). Testet har baserats på portföljer sammansatta på momentum- och contrarianstrategier för att utröna om en ETFs storlek på kapitalvärde är avgörande för en ETFs avkastning. Populationen har delats upp efter kapitalvärde i grupper om 25% största respektive 25% minsta, varefter portföljer skapats med momentumvinnare och momentumförlorare inom respektive grupp. Resultaten är mångtydiga och är i en del fall i linje med forskning som stödjer teorier om sambandet mellan lågt kapitalvärde och hög riskjusterad överavkastning. I andra fall är resultatet motsatt. Dock ger de flesta observationer inte statistisk signifikans och sambandet kan därför inte styrkas statistiskt. Resultatet tyder snarare på att ett samband mellan dessa två variabler inte föreligger.
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8

Ribeiro, Vera Carneiro. "Pricing of exchange traded funds." Master's thesis, NSBE - UNL, 2014. http://hdl.handle.net/10362/11721.

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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
ETFs are a relatively new investment product that allows investors to achieve the diversification of a mutual fund with the trading flexibility of a stock. This and other advantages have been drastically attracting investors over the last years; however, the price of this product is a topic that remains little explored. In this paper I introduce a panel data analysis of premiums/discounts of ETFs with similar characteristics. I find that some of these characteristics are significant explanations to ETF pricing inefficiencies.
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9

Pecha, Martin. "Obchodování s komoditami." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-113597.

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The goal of this diploma thesis is to analyze the gold market and provide readers with the necessary information and context having an impact on the price of gold. The thesis consists of three chapters. First one deals in general with the commodity market and introduces the readers to commodity exchange issues such as trading commodities in commodity exchanges, motives of commodity trading as well as the specific characteristics of commodities. Second one concerns the detailed analysis of commodity investment tools that investors might use when they feel like getting an exposure to price movements of commodities. The last chapter gears towards an analysis of the gold market in today's super globalized world and depicts what fundamental factors have an impact on the price of gold. At last, I shall summarize existing pieces of knowledge and cast light on further gold price movements.
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10

Posterro, Barry John. "Explorations of Trading Strategies for Leveraged Exchange-Traded Funds." Digital WPI, 2009. https://digitalcommons.wpi.edu/etd-theses/1086.

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"This paper describes our work in exploring trading strategies for the leveraged exchange-traded funds, Direxion Daily Financial Bull 3X (FAS) and Direxion Daily Financial Bear 3X (FAZ) over the first three quarters of 2009. Using minute-by-minute stock data we are able to verify the accuracy of these ETFs in regards to their target of the Russell 1000 Financial Index (RIFIN). We are then able to quantify the returns and risks involved with trading strategies that seek to exploit the ETFs objectives, specifically momentum trades, tracking-error discrepancy trades, and a combination of the two strategies we term “discount-and-up.” Bootstrap simulation techniques are employed to measure values at risk and conditional tail expectations over 30 day time horizons for each strategy. Lastly, we demonstrate the dangers of traditional buy-and-hold investing with regards to leveraged ETFs."
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Books on the topic "Exchange Traded Funds-ETF"

1

The ETF handbook: How to value and trade exchange-traded funds. Hoboken, N.J: Wiley, 2010.

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Abner, David J. The ETF handbook: How to value and trade exchange traded funds. Hoboken, N.J: Wiley, 2010.

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The ETF book: All you need to know about exchange-traded funds. Hoboken, N.J: John Wiley & Sons, 2009.

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Frush, Scott P. The strategic ETF investor: How to make money with exchange traded funds. New York: McGraw-Hill, 2012.

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The strategic ETF investor: How to make money with exchange traded funds. New York: McGraw-Hill, 2012.

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Oubenal, Mohamed. La légitimation des produits financiers: Le réseau de promotion des Exchange Traded Funds (ETF) en France. Cormelles-le-Royal: Éditions EMS Management & Société, 2015.

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Lydon, Tom. The ETF trend following playbook: Profiting from trends in bull or bear markets with exchange traded funds. Upper Saddle River, N.J: FT Press, 2010.

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The ETF trend following playbook: Profiting from trends in bull or bear markets with exchange traded funds. Upper Saddle River, N.J: FT Press, 2010.

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Lydon, Tom. The ETF trend following playbook: Profiting from trends in bull or bear markets with exchange traded funds. Upper Saddle River, N.J: FT Press, 2010.

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Lydon, Tom. The ETF trend following playbook: Profiting from trends in bull or bear markets with exchange traded funds. Upper Saddle River, N.J: FT Press, 2010.

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Book chapters on the topic "Exchange Traded Funds-ETF"

1

Lessambo, Felix I. "Exchange Traded Funds (ETF)." In International Finance, 117–24. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-69232-2_9.

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Meziani, A. Seddik. "Other ETF Investment Strategies and Applications." In Exchange-Traded Funds, 345–67. London: Palgrave Macmillan UK, 2016. http://dx.doi.org/10.1057/978-1-137-39095-0_14.

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Meziani, A. Seddik. "Jumping on the Bond ETF Wagon." In Exchange-Traded Funds, 91–128. London: Palgrave Macmillan UK, 2016. http://dx.doi.org/10.1057/978-1-137-39095-0_5.

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Meziani, A. Seddik. "Evolution and Outlook of the ETF Market: From a Trickle to a Mighty Roar." In Exchange-Traded Funds, 1–15. London: Palgrave Macmillan UK, 2016. http://dx.doi.org/10.1057/978-1-137-39095-0_1.

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Meziani, A. Seddik. "Other ETF Investment Strategies andApplications." In Exchange-Traded Funds as an Investment Option, 270–89. London: Palgrave Macmillan UK, 2006. http://dx.doi.org/10.1057/9780230513372_13.

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Meziani, A. Seddik. "Anatomy of the ETF Landscape in Europe: General Market Conditions." In Exchange-Traded Funds as an Investment Option, 161–80. London: Palgrave Macmillan UK, 2006. http://dx.doi.org/10.1057/9780230513372_9.

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"Economics and Market Effects of ETF Short Selling." In The Exchange-Traded Funds Manual, 227–43. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118266946.ch9.

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"The Regulatory Framework and Mechanics of the Open-End ETF." In The Exchange-Traded Funds Manual, 43–64. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118266946.ch3.

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"ETF Applications for Individual Investors and the Advisors Who Serve Them." In The Exchange-Traded Funds Manual, 263–77. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118266946.ch11.

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