Este artículo investiga la predictibilidad de los precios a corto plazo de los ETF de renta fija
de EE. UU. en respuesta a choques extremos de precios. A través de una evaluación de …

Since their introduction in 2002, bond ETFs have grown dramatically, with more than $243
billion in assets by the end of 2012. Using data on gross flows from N-SAR filings, we …

Bond ETFs trading at a premium (discount) to NAV experience more creations (redemptions)
than those trading at parity. When these transactions occur, subsequent returns partially …

Many option pricing models imply that the price of a call option is a monotonically increasing
function of the value of its underlying asset, and the price of a put option is a monotonically …

Purpose–For a number of reasons ranging from their more recent introduction to their
perceived lesser excitement relative to stock-based peers, there have been few studies of …

This article examines ETF creations and redemptions around price deviations and finds that
the expected arbitrage trades are relatively rare in a broad sample of equity index ETFs. In …

The recent rapid growth of passive investment instruments in the fixed-income market raises
the question of their relative outperformance compared to corresponding active investment …

The phenomena of volatility decay (also known as time decay) and path dependence in
leveraged exchange traded funds (ETF) markets have been documented in the literature …

Equity markets are amongst the most researched areas in asset pricing literature. Data
availability and the liquid and transparent nature of equity markets have aided research in …

This article describes in detail the multiplicative quadrinomial tree numerical method with
nonconstant volatility, based on a system of stochastic differential equations of the GARCH …