政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/135871

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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/135871

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题名:	Performance of Japanese Leveraged ETFs
作者:	岳夢蘭 Meng-LanYueh PeterMiu JingHan
贡献者:	財管系
关键词:	Leveraged exchange-traded funds;Fund performance;Cost of carry;Dividend clustering
日期:	2021-02
上传时间:	2021-06-25 09:49:17 (UTC+8)
摘要:	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.
關聯:	Pacific-Basin Finance Journal, Vol.65, pp.101490
数据类型:	article
DOI 連結:	https://doi.org/10.1016/j.pacfin.2020.101490
DOI:	10.1016/j.pacfin.2020.101490
显示于类别:	[財務管理學系] 期刊論文

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