Overreaction of country ETFs to US market returns: Intraday vs. daily horizons and the role of synchronized trading

In this paper we study the intraday price formation process of country Exchange Traded Funds (ETFs). We identify specific parts of the US trading day during which Net Asset Values (NAVs), currency rates, premiums and discounts, and the S&P 500 index have special effects on ETF prices, and charac...

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Veröffentlicht in:	Journal of banking & finance 2013-05, Vol.37 (5), p.1412-1421
Hauptverfasser:	Levy, Ariel, Lieberman, Offer
Format:	Artikel
Sprache:	eng
Schlagworte:	Arbitrage Asset valuation Banking system Capital returns ETF Exchange market Exchange traded funds Foreign markets Hedging Indexes International finance Overreaction Price index Prices Rates of return Securities trading Structured products Studies Synchronized trading U.S.A
Online-Zugang:	Volltext
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