The Limits of Arbitrage: Evidence from Exchange Traded Funds

Keywords

Arbitrage, Risk arbitrage, Statistical arbitrage, Index arbitrage, Fixed income arbitrage

References

• Excess Volatility and Closed-End FundsJeffrey Pontiff — 1997
• Closed-End Fund Shares' Abnormal Returns and the Information Content of Discounts and PremiumsGreggory A. Brauer — 1988
• Are the Discounts on Closed-End Funds a Sentiment Index?Nai‐Fu Chen, Raymond Kan, Merton H. Miller — 1993
• Exchange Traded Funds: A New Investment Option for Taxable InvestorsJames M. Poterba, John B. Shoven — 2002
• DISCOUNTS AND PREMIUMS ON CLOSED‐END MUTUAL FUNDS: A STUDY IN VALUATIONKenneth J. Boudreaux — 1973
• Noise Trader Risk in Financial MarketsJ. Bradford De Long, Andrei Shleifer, Lawrence H. Summers — 1990
• Investor Sentiment and the Closed-End Fund PuzzleCharles M.C. Lee, Andrei Shleifer, Richard H. Thaler — 1991
• Costly Arbitrage: Evidence from Closed-End FundsJeffrey Pontiff — 1996
• The stock market bubble of 1929: evidence from clsoed-end mutual fundsJ. Bradford De Long, Andrei Shleifer — 1991
• A Rational Model of the Closed-End Fund DiscountJonathan Berk, Richard Stanton — 2004
• AN INVESTOR EXPECTATIONS STOCK PRICE PREDICTIVE MODEL USING CLOSED‐END FUND PREMIUMSMartin E. Zweig — 1973
• The Limits of ArbitrageAndrei Shleifer, Robert W. Vishny — 1997
• Yes, Discounts on Closed-End Funds Are a Sentiment Index: Summing UpNavin Chopra, Charles M.C. Lee, Andrei Shleifer — 1993
• Positive Feedback Investment Strategies and Destabilizing Rational SpeculationJ. Bradford De Long, Andrei Shleifer, Lawrence H. Summers — 1989
• Exchange Traded Funds: A New Investment Option for Taxable InvestorsJames M. Poterba, John B. Shoven — 2002
• Investor Sentiment and the Closed‐End Fund PuzzleCharles M.C. Lee, Andrei Shleifer, Richard H. Thaler — 1991
• The Case for Flexible Exchange RatesM. Friedman — 1996

Cited by

• Handbook of Financial EngineeringConstantin Zopounidis, Michael Doumpos, Pãnos M. Pardalos — 2011
• The Introduction of the CAC40 Master Unit and the CAC40 Index Spot-Futures Pricing RelationshipCarole Gresse, Laurent Deville, Béatrice de Séverac — 2006
• Quantifying the Effects of New Derivative Introduction on Exchange Volatility, Efficiency and LiquidityShaen Corbet — 2012
• Have Exchange Traded Funds Influenced Commodity Market VolatilityShaen Corbet — 2014
• Value-at-Risk of Brazilian ETFs with Extreme Value Theory ApproachYuri Sampaio Maluf, Otávio Ribeiro de Medeiros — 2014
• Passive investing before and after the crisis: investors' views on exchange-traded funds and competing index productsFelix Goltz, David Schröder — 2011
• Cyclical Variations in the Performance of Exchange-traded FundsYao Zheng, Eric Osmer — 2012
• Active ETFs and Their Performance vis-à-vis Passive ETFs, Mutual Funds, and Hedge FundsPanagiotis Schizas — 2014
• Investing overseas from home: The case of Asian iSharesGerasimos G. Rompotis — 2010
• Have leveraged and traditional ETFs impacted the volatility of real estate stock prices?Richard J. Curcio, Randy I. Anderson, Hany Guirguis — 2012
• Premiums, discounts and feedback trading: Evidence from emerging markets' ETFsAilie Charteris, Frankie Chau, Konstantinos Gavriilidis — 2014
• Does the Law of One Price Hold for South African Exchange Traded FundsAilie Charteris — 2014
• Pricing Efficiency of Nifty BeES in Bullish and Bearish MarketsR. Shanmugham, Zabiulla — 2012
• Intraday pricing of ETFs and certificates replicating the German DAX indexChristoph Schmidhammer, Sebastian Lobe, Klaus Röder — 2010
• The price efficiency of South African exchange traded fundsAilie Charteris — 2013
• Premiums and Returns of iSharesGerasimos G. Rompotis — 2009
• Pricing Efficiency & Performance of Exchange Traded Funds in IndiaHarsh Purohit, Nidhi Malhotra — 2015
• Does premium impact Exchange-Traded Funds’ returns? Evidence from iSharesGerasimos G. Rompotis — 2010
• Passive versus active applications of industry exchange traded funds (ETFs) : an empirical investigation on the S&P Global 1200 IndexA. Musa — 2015
• Price discovery and dynamics of Indian equity exchange traded fundsNidhi Malhotra, Harsh Purohit, Deepak Tandon — 2016

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