[HTML][HTML] How high frequency trading affects a market index
The relationship between a market index and its constituent stocks is complicated. While an
index is a weighted average of its constituent stocks, when the investigated time scale is one …
index is a weighted average of its constituent stocks, when the investigated time scale is one …
The pricing efficiency of exchange-traded commodities
G Dorfleitner, A Gerl, J Gerer - Review of Managerial Science, 2018 - Springer
Exchange-traded commodities (ETCs) open the commodity markets to both private and
institutional investors. This paper is the first to examine the pricing efficiency and potential …
institutional investors. This paper is the first to examine the pricing efficiency and potential …
An analysis of exchange traded notes tracking errors with their underlying indexes and indicative values
R Aroskar, WA Ogden - Applied Financial Economics, 2012 - Taylor & Francis
This study employs five commonly used methods to estimate tracking errors between iPath
Exchange Traded Notes (ETNs) and their respective indexes. Commodity ETNs perform well …
Exchange Traded Notes (ETNs) and their respective indexes. Commodity ETNs perform well …
[PDF][PDF] Backwardation and commodity futures performance: Evidence from evolving agricultural markets
B Feldman, H Till - Journal of Alternative Investments, 2006 - premiacap.com
The recent performance of commodities has spurred interest in the various sources of
returns to commodity investment. The underlying sources of return include the potential …
returns to commodity investment. The underlying sources of return include the potential …
Tail-risk hedging, dividend chasing, and investment constraints: The use of exchange-traded notes by mutual funds
Our study examines mutual fund demand for a newly designed security, exchange-traded
notes (ETNs). We find strong evidence that mutual fund long positions in ETNs significantly …
notes (ETNs). We find strong evidence that mutual fund long positions in ETNs significantly …
Implicit leverage: Can accrued fees cause levered ETN returns?
A John, L DeVault - Finance Research Letters, 2023 - Elsevier
Abstract Exchange Traded Notes (ETNs) are unsecured debt obligations backed by the
credit quality of the issuing bank. These investments are designed to provide the return of an …
credit quality of the issuing bank. These investments are designed to provide the return of an …
[HTML][HTML] Effects of commodity exchange-traded note introductions: Adjustment for seasonality
This study investigates the impacts of the introductions of commodity exchange-traded notes
on the corresponding underlying commodity futures markets around their issuance …
on the corresponding underlying commodity futures markets around their issuance …
The risks of volatility ETNs: a recent incident and underlying issues
F Goltz, S Stoyanov - The Journal of Index Investing, 2013 - pm-research.com
Getting a volatility exposure has become easier for investors after the relatively recent
introduction of volatility ETNs (exchange-traded notes) and volatility ETFs (exchange-traded …
introduction of volatility ETNs (exchange-traded notes) and volatility ETFs (exchange-traded …
What drives the market for exchange-traded notes?
D Rakowski, S Shirley - Journal of Banking & Finance, 2020 - Elsevier
Exchange-traded notes (ETNs) are a relatively new form of security design that appear
similar to exchange-traded funds (ETFs), but with no underlying portfolio holdings. We …
similar to exchange-traded funds (ETFs), but with no underlying portfolio holdings. We …
Student-Managed Commodity Fund—A New Frontier in Experiential Learning
This study provides a road map for creating and operating a student-managed investment
fund (SMIF) as an experiential learning opportunity in commodity market analysis. We …
fund (SMIF) as an experiential learning opportunity in commodity market analysis. We …