Další formáty:
BibTeX
LaTeX
RIS
@article{1354641, author = {Linnertová, Dagmar and Deev, Oleg}, article_location = {Karviná}, article_number = {2}, keywords = {abnormal returns; exchange-traded funds; short sale}, language = {eng}, issn = {1212-415X}, journal = {Acta academica karviniensia}, title = {What makes investors short sell ETFs?}, url = {http://www.slu.cz/opf/cz/informace/acta-academica-karviniensia/casopisy-aak/aak-rocnik-2016/docs-2-2016/Linnertova_Deev.pdf}, volume = {XVI}, year = {2016} }
TY - JOUR ID - 1354641 AU - Linnertová, Dagmar - Deev, Oleg PY - 2016 TI - What makes investors short sell ETFs? JF - Acta academica karviniensia VL - XVI IS - 2 SP - 16-27 EP - 16-27 PB - Slezská univerzita v Opavě SN - 1212415X KW - abnormal returns KW - exchange-traded funds KW - short sale UR - http://www.slu.cz/opf/cz/informace/acta-academica-karviniensia/casopisy-aak/aak-rocnik-2016/docs-2-2016/Linnertova_Deev.pdf L2 - http://www.slu.cz/opf/cz/informace/acta-academica-karviniensia/casopisy-aak/aak-rocnik-2016/docs-2-2016/Linnertova_Deev.pdf N2 - Short selling exchange-traded funds (ETFs) has become a common means of speculating or hedging in response to pessimistic expectations about a specific market or sector, as the short interest of ETFs is more than 10 times that of individual stocks, on average. The study determines the specific characteristics of globally available ETFs, which influence the level of short interest (such as trading volume, price stability, market capitalization, expense ratio, geographical focus, investment strategy and the availability of derivatives for the underlying index), and tests three most common short sale motivation hypotheses (overpricing, arbitrage and hedging and transaction costs). Using the monthly short interest ratio and the characteristics of ETFs traded in the US market, empirical evidence to support all three short sale motivation hypotheses is provided. The possibility of achieving abnormal returns based on previous levels of short sale is also tested. ER -
LINNERTOVÁ, Dagmar a Oleg DEEV. What makes investors short sell ETFs? \textit{Acta academica karviniensia}. Karviná: Slezská univerzita v Opavě, 2016, XVI, č.~2, s.~16-27. ISSN~1212-415X.
|