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政大典藏 > College of Commerce > Department of Finance > Periodical Articles > Item 140.119/135871

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/135871

Title:	Performance of Japanese Leveraged ETFs
Authors:	岳夢蘭 Meng-LanYueh PeterMiu JingHan
Contributors:	財管系
Keywords:	Leveraged exchange-traded funds;Fund performance;Cost of carry;Dividend clustering
Date:	2021-02
Issue Date:	2021-06-25 09:49:17 (UTC+8)
Abstract:	This study investigates the tracking performance and pricing efficiency of five groups of equity leveraged ETFs traded in Japan. One distinguishing feature of these leveraged ETFs is that they employ only futures contracts to achieve their desired exposures on the benchmark index. This allows us to develop a framework to determine their theoretical returns, based on the costs of carry of their underlying assets. The empirical results show that funds with positive (negative) leverage ratios tend to outperform (underperform) against their benchmarks, a pattern the opposite of US-listed equity-index tracking funds. Moreover, this outperformance/underperformance pattern concentrates on the popular ex-dividend dates of the constituent stocks of the underlying index. By using our theoretical framework, we reconcile these performance behaviors that can be attributed to the heavy reliance on futures contracts.
Relation:	Pacific-Basin Finance Journal, Vol.65, pp.101490
Data Type:	article
DOI link:	https://doi.org/10.1016/j.pacfin.2020.101490
DOI:	10.1016/j.pacfin.2020.101490
Appears in Collections:	[Department of Finance] Periodical Articles

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