Outperformance in exchange-traded fund pricing deviations: Generalized control of data snooping bias
| Data(s) |
01/06/2014
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| Resumo |
<p>An investigation into exchange-traded fund (ETF) outperforrnance during the period 2008-2012 is undertaken utilizing a data set of 288 U.S. traded securities. ETFs are tested for net asset value (NAV) premium, underlying index and market benchmark outperformance, with Sharpe, Treynor, and Sortino ratios employed as risk-adjusted performance measures. A key contribution is the application of an innovative generalized stepdown procedure in controlling for data snooping bias. We find that a large proportion of optimized replication and debt asset class ETFs display risk-adjusted premiums with energy and precious metals focused funds outperforming the S&P 500 market benchmark. </p> |
| Identificador | |
| Idioma(s) |
eng |
| Direitos |
info:eu-repo/semantics/restrictedAccess |
| Fonte |
Kearney , F , Cummins , M & Murphy , F 2014 , ' Outperformance in exchange-traded fund pricing deviations: Generalized control of data snooping bias ' Journal of Financial Markets , vol 19 , pp. 86-109 . DOI: 10.1016/j.finmar.2013.08.003 |
| Palavras-Chave | #Exchange-traded fund #ETF performance #Multiple hypothesis testing #Data snooping bias #FALSE DISCOVERIES #MUTUAL FUNDS #ERROR RATES #PERFORMANCE #LUCK |
| Tipo |
article |
