Investigating Financial Performance of Low-and High-Rated ETFs During the QE-Tapering
References
- Agapova, A. (2011). Conventional mutual index funds versus exchange-traded funds, Journal of Financial Markets, vol. 14, no. 2: 323-343.10.1016/j.finmar.2010.10.005
- Aizenman, J., Mahir B., & Hutchison, M.M. (2014). The transmission of Federal Reserve tapering news to emerging financial markets. no. w19980. National Bureau of Economic Research.10.3386/w19980
- Avramov, D., & Wermers, R. (2006). Investing in mutual funds when returns are predictable, Journal of Financial Economics 81, no. 2: 339-377.10.1016/j.jfineco.2005.05.010
- Blume, M. E., & Irwin F. (1973). A new look at the capital asset pricing model, The journal of finance 28, no. 1: 19-34.10.1111/j.1540-6261.1973.tb01342.x
- Bollen, N. PB., & Jeffrey, A. B. (2001). On the timing ability of mutual fund managers, The Journal of Finance 56, no. 3: 1075-1094.10.1111/0022-1082.00356
- Bollerslev, T., Engle, R. F., & Wooldridge, J. M. (1988). A capital asset pricing model with time-varying covariances, Journal of political Economy 96, no. 1: 116-131.10.1086/261527
- Carhart, M. M. (1997). On persistence in mutual fund performance, The Journal of finance 52, no. 1: 57-82.10.1111/j.1540-6261.1997.tb03808.x
- Chari, A., Dilts Stedman, K., & Lundblad, C. (2017). Taper tantrums: QE, its aftermath and emerging market capital flows. no. w23474. National Bureau of Economic Research.10.3386/w23474
- Chen, S.-N., & Hoyoon, J. (1994). On selectivity and market timing ability of US-based international mutual funds: Using refined Jensen’s measure, Global Finance Journal 5, no. 1.10.1016/1044-0283(94)90011-6
- Edelen, R. M., & Warner, J.B. (2001). Aggregate price effects of institutional trading: a study of mutual fund flow and market returns, Journal of Financial Economics 59, no. 2: 195-220.10.1016/S0304-405X(00)00085-4
- Engen, E. M., & Lehnert, A. (2000). Mutual funds and the US equity market, Fed. Res. Bull. 86: 797.10.17016/bulletin.2000.86-12
- Engle, R.F., & Sarkar, D. (2006). Premiums-discounts and exchange traded funds, The Journal of Derivatives 13, no. 4: 27-45.10.3905/jod.2006.635418
- Fama, E. F., & French, K.R. (1996). The CAPM is wanted, dead or alive, The Journal of Finance 51, no. 5: 1947-1958.10.1111/j.1540-6261.1996.tb05233.x
- Fama, E. F., & French, K.R. (2006). The value premium and the CAPM, The Journal of Finance 61, no. 5: 2163-2185.10.1111/j.1540-6261.2006.01054.x
- Fawley, B. W., & Neely, C. J. (2013). Four stories of quantitative easing, Federal Reserve Bank of St. Louis Review 95, no. 1: 51-88.10.20955/r.95.51-88
- Firth, M.A. (1977). The investment performance of unit trusts in the period 1965-75, Journal of Money, Credit and Banking 9, no. 4: 597-604.10.2307/1991533
- Frazzini, A. & Pedersen, L.H. (2014). Betting against beta, Journal of Financial Economics 111, no. 1: 1-25.10.1016/j.jfineco.2013.10.005
- Gastineau, G. L. (2001). An introduction to exchange-traded funds (ETFs), Journal of Portfolio Management and Economics 27, no. 3: 88-96.10.3905/jpm.2001.319804
- Hallahan, T. A., & Faff, R. W. (1999). An examination of Australian equity trusts for selectivity and market timing performance, Journal of Multinational Financial Management 9, no. 3-4: 387-402.10.1016/S1042-444X(99)00008-0
- Harper, J. T., Madura, J., & Schnusenberg, O. (2006). Performance comparison between exchange-traded funds and closed-end country funds, Journal of International Financial Markets, Institutions and Money 16, no. 2: 104-122.10.1016/j.intfin.2004.12.006
- Hayat, R., & Kraeussl, R. (2011). Risk and return characteristics of Islamic equity funds, Emerging markets review 12, no. 2: 189-203.10.1016/j.ememar.2011.02.002
- Henriksson, R. D., & Merton, R. C. (1981). On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills, Journal of business, 54, no.4: 513-533.10.1086/296144
- Hübner, G. (2005). The generalized Treynor ratio, Review of Finance 9, no. 3: 415-435.10.1007/s10679-005-2265-x
- Jensen, M.C. (1968). The performance of mutual funds in the period 1945–1964, The Journal of finance 23, no. 2: 389-416.10.1111/j.1540-6261.1968.tb00815.x
- Joyce, M. AS., & Tong, M. (2012). QE and the gilt market: a disaggregated analysis, The Economic Journal 122, no. 564: F348-F384.10.1111/j.1468-0297.2012.02552.x
- Kaimakamis, G., & Kiriakopoulos, K. (2010). A note on Temporal Aggregation Effects on the Mean Variance Portfolio. Optimization Approach-Some Empirical Results, Journal of Financial Decision Making 6, no. 1: 69-76.
- Klemkosky, R. C., & Martin, J. D. (1975). The adjustment of beta forecasts, The Journal of Finance 30, no. 4: 1123-1128.10.1111/j.1540-6261.1975.tb01027.x
- Kostovetsky, L. (2003). Index mutual funds and exchange-traded funds, The Journal of Portfolio Management 29, no. 4: 80-92.10.3905/jpm.2003.319897
- Koulis, A., Botsaris, C., Adam, M., & Beneki, C. (2011). An assessment of the performance of Greek mutual equity funds selectivity and market timing, Applied Mathematical Sciences, 5(4), 159-171
- Lhabitant F. S. (2001). On Swiss timing and selectivity: in the quest of alpha, Financial markets and portfolio management, 15(2): 154-172.10.1007/s11408-001-0202-3
- Lockwood, L. J. (1996). Macroeconomic forces and mutual fund betas, Financial Review 31, no. 4: 747-763.10.1111/j.1540-6288.1996.tb00895.x
- MacKinlay, A. C. (1995). Multifactor models do not explain deviations from the CAPM, Journal of Financial Economics 38, no. 1: 3-28.10.1016/0304-405X(94)00808-E
- Madhavan, A. (2012). Exchange-traded funds, market structure, and the flash crash, Financial Analysts Journal 68, no. 4: 20-35.10.2469/faj.v68.n4.6
- Malkiel, B. G. (2014). Is smart beta really smart?, The Journal of Portfolio Management 40, no. 5: 127-134.10.3905/jpm.2014.40.5.127
- Markowitz, H. (1952). Portfolio Selection, Journal of Finance, 7, no 1. : 77-91.10.1111/j.1540-6261.1952.tb01525.x
- Morgan, I. G. (1975). Prediction of return with the minimum variance zero-beta portfolio, Journal of Financial Economics 2, no. 4: 361-376.10.1016/0304-405X(75)90010-0
- Mossin, J. (1966). Equilibrium in a capital asset market, Econometrica: Journal of the econometric society, 34, no. 4 : 768-783.10.2307/1910098
- Newey, W.K., & West, K.D. (1986). A simple, positive semi-definite, heteroskedasticity and autocorrelationconsistent covariance matrix, Econometrica: Journal of the econometric society 55, no. 3 : 703-70810.2307/1913610
- Pettengill, G.N., Sundaram, S., & Mathur, I. (1995). The conditional relation between beta and returns, Journal of Financial and quantitative Analysis 30, no. 1: 101-116.10.2307/2331255
- Philippas Ν. (2001). An empirical evaluation of the performance of the Greek Fund Managers, Spoudai Magazine, University of Piraeus, 51(1-2): 142-163.
- Reinganum, M. R. (1981). A new empirical perspective on the CAPM, Journal of financial and quantitative analysis 16, no. 4: 439-462.10.2307/2330365
- Romacho, J. C., & Cortez, M.C. (2006). Timing and selectivity in Portuguese mutual fund performance, Research in International Business and Finance 20, no. 3: 348-368.10.1016/j.ribaf.2005.05.005
- Shanken, J. (1985). Multivariate tests of the zero-beta CAPM, Journal of financial economics 14, no. 3: 327-348.10.1016/0304-405X(85)90002-9
- Shanken, J. (1992). On the estimation of beta-pricing models, The review of financial studies 5, no. 1: 1-33.10.1093/rfs/5.1.1
- Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk, The journal of finance 19, no. 3: 425-442.10.1111/j.1540-6261.1964.tb02865.x
- Sharpe, W.F. (1966). Mutual fund performance, The Journal of business 39, no. 1: 119-138.10.1086/294846
- Treynor, J., & Mazuy, K. (1966). Can mutual funds outguess the market, Harvard business review 44, no. 4: 131-136.
- Ünal, G., & Tan, Ö.F. (2015). Selectivity and market timing ability of polish fund managers analysis of selected equity funds, Procedia-Social and Behavioral Sciences 213: 411-416.10.1016/j.sbspro.2015.11.559
Language: English
Page range: 107 - 123
Submitted on: Dec 1, 2018
Accepted on: Feb 1, 2020
Published on: Apr 13, 2020
Published by: Association Holistic Research Academic (Hora)
In partnership with: Paradigm Publishing Services
Publication frequency: 3 times per year
Keywords:
Related subjects:
© 2020 Nikolaos Galatis, Ekaterini Nitsi, Chrysoula Theloura, published by Association Holistic Research Academic (Hora)
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.