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Solving the Return Deviation Conundrum of Leveraged Exchange-Traded Funds
The large deviation of the actual return of a Leveraged Exchange-Traded Fund (LETF) from the leveraged multiple of the underlying index return has drawn considerable attention from investors, regulators, and the financial media. Despite this attention, the sources and fundamental determinants of the LETF return deviation remain unidentified. This study constructs a clear, unified, objective, and executable framework that addresses the behaviors, sources, and determinants of the LETF compounding and non-compounding deviations. Our theoretical predictions and empirical results hold the promise of guiding investors, regulators, financial advisors, and portfolio managers toward a thorough understanding of the return behavior of LETFs..Printed Journal
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| JFQA4801 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | Cambridge: Cambridge University Press |
|---|---|
| Edisi | - |
| Subjek | Non Leveraged ETFs Return Deviation Compounding Effect Tracking Error Market Inefficiency |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |