Sökning: "Exchange traded funds"

Visar resultat 1 - 5 av 24 uppsatser innehållade orden Exchange traded funds.

  1. 1. Does ETF Ownership Increase Stock Volatility?


    Författare :Daniel Bysted; John Lundkvist; [2019-07-05]
    Nyckelord :Exchange Traded Fund; Stock Volatility; EFT ownership; Arbitrage;

    Sammanfattning : Exchange Traded Funds (ETFs) are supposed to be priced equal to the net asset value of their underlying stocks, if not, opportunities of arbitrage occur and are quickly corrected by arbitrageurs. When a demand or liquidity shock hits the ETF market, the price of the underlying stocks are affected due to arbitrage trading. LÄS MER



    Författare :Max Hansson; Oscar Perers; [2018-07-16]
    Nyckelord :Exchange traded funds; volatility; arbitrage;

    Sammanfattning : This thesis explores the effect ownership by exchange traded funds have on the volatility of their underlying securities. We build upon the research conducted by Ben-David, Franzoni and Moussawi (2017a) and first replicate the results presented by them that ownership by exchange traded funds increase volatility. LÄS MER

  3. 3. Alterations in the Liquidity Premium as an Effect of Exchange Traded Funds : A Study Performed on Nasdaq Composite between 1997 and 2016

    Master-uppsats, Högskolan i Jönköping/IHH, Företagsekonomi; Högskolan i Jönköping/IHH, Företagsekonomi

    Författare :Axel Andersson; Emanuel Svanberg; [2018]
    Nyckelord :Liquidity Premium; Characteristic Liquidity; Systematic Liquidity; Indexation; Exchange Traded Funds; Fama-MacBeth Regression;

    Sammanfattning : Investors have historically demanded a return premium for taking on the risk of illiquidity both in terms of characteristic and systematic liquidity risk. Recent research have presented results suggesting that the liquidity premium is diminishing. LÄS MER

  4. 4. Performance and Efficiency of the Nordic Exchange Traded Fund Market

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Anna Dahlstedt; Amanda Blomdahl; [2018]
    Nyckelord :Exchange traded funds; Leveraged ETF; Performance; Tracking error; Price deviation;

    Sammanfattning : ETFs are experiencing rapid growth as a passive investment instrument. Due to the recent MiFID II and PRIIPS regulations, Nordic ETFs are becoming increasingly relevant for European investors. LÄS MER

  5. 5. Factor-Based Hedge Fund Replication Using Exchange-Traded Funds

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Frank Hartman; Constantijn Huigen; [2017]
    Nyckelord :Hedge Funds; Replication; Factor Model; Exchange-Traded Funds;

    Sammanfattning : This paper studies the performance of factor-based hedge fund replication. We use monthly data of nine exchange-traded funds to estimate clone portfolios over the sample period 2008-2016 for eleven different hedge fund indices. LÄS MER