Exchange Traded Funds (ETFs)

Ben‐David, Itzhak; Franzoni, Francesco; Moussawi, Rabih

doi:10.3386/w22829

Cited by 18 publications

(4 citation statements)

References 40 publications

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“…They nonetheless show that E-mini futures are more informative than the ETF at times of high expected volatility. This is in line with the stylized fact that ETF liquidity drastically reduces at times of market stress, causing price discovery to move away from ETF markets (Ben-David et al, 2017).…”

Section: Introductionsupporting

confidence: 75%

“…The literature argues that derivatives markets should lead the price discovery relative to cash markets because they allow informed traders to get more leverage and trade at lower costs (see, among others, Kawaller, Koch and Kock, 1987;Stoll and Whaley, 1990;Fleming, Ostdiek and Whaley, 1996). 2 However, it is not clear whether futures markets offer lower trading costs than ETF platforms (Wermers and Xue, 2015;Aldrich and Lee, 2016;Ben-David, Franzoni and Moussawi, 2017).…”

Section: Introductionmentioning

confidence: 99%

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Testing for Jump Spillovers Without Testing for Jumps

Corradi

Distaso²,

Fernandes³

2019

Journal of the American Statistical Association

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This paper develops statistical tools for testing conditional independence among the jump components of the daily quadratic variation, which we estimate using intraday data. To avoid sequential bias distortion, we do not pretest for the presence of jumps. If the null is true, our test statistic based on daily integrated jumps weakly converges to a Gaussian random variable if both assets have jumps. If instead at least one asset has no jumps, then the statistic approaches zero in probability. We show how to compute asymptotically valid bootstrap-based critical values that result in a consistent test with asymptotic size equal to or smaller than the nominal size. Empirically, we study jump linkages between US futures and equity index markets.We find not only strong evidence of jump cross-excitation between the SPDR exchange-traded fund and E-mini futures on the S&P 500 index, but also that integrated jumps in the E-mini futures during the overnight period carry relevant information.

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Section: Introductionsupporting

confidence: 75%

Section: Introductionmentioning

confidence: 99%

Testing for Jump Spillovers Without Testing for Jumps

Corradi

Distaso²,

Fernandes³

2019

Journal of the American Statistical Association

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“…Since the mid-1990s, factors-based exchange traded funds have experienced spectacular growth. By mid-2016, these funds own about 1.35 trillion dollars in the U.S. stock market, accounting for about 10% of the market capitalization of traded securities (Ben-David, Franzoni, and Moussawi 2016). As factor investing becomes increasingly important, the financial press has rightfully called into question the reliability of the underlying academic research.…”

Section: Motivating Replicationmentioning

confidence: 99%

Replicating Anomalies

Hou¹,

Chen²,

Zhang³

2017

184

208

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We have benefited from helpful discussions with Stijn van Nieuwerburgh and René Stulz. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.

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“…Exchange traded funds, which are factor-based, grew tremendously from the mid-1990s to 2016. These funds had a value of more than 1.35 trillion dollars in the U.S. stock market and accounted for around 10% of total stocks traded in U.S. markets (Ben-David et al 2017). With the growing importance of factor investigation, the financial press media questioned the reliability of the underlying investigated factor.…”

Section: Replication: a Futuristic Approachmentioning

confidence: 99%

Stock Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis

Qin

Yousaf

Ain

et al. 2019

JRFM

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The expansion of investment strategies and capital markets is altering the significance and empirical rationality of the Efficient Market Hypothesis. The vitality of capital markets is essential for efficiency research. The authors explore here the development and contemporary status of the efficient market hypothesis by emphasizing anomaly/excess returns. Investors often fail to get excess returns; however, thus far, market anomalies have been witnessed and stock prices have diverged from their intrinsic value. This paper presents an analysis of anomaly returns in the presence of the theory of the efficient market. Moreover, the market efficiency progression is reviewed and its present status is explored. Finally, the authors provide enough evidence of a data snooping issue, which violates and challenges the existing proof and creates room for replication studies in modern finance.

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Exchange Traded Funds (ETFs)

Cited by 18 publications

References 40 publications

Testing for Jump Spillovers Without Testing for Jumps

Testing for Jump Spillovers Without Testing for Jumps

Replicating Anomalies

Stock Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis

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