Kearney, Fearghal 
ORCID: 0000-0002-3251-8707, Murphy, Finbarr and Cummins, Mark ORCID: 0000-0002-3539-8843
(2014)
Outperformance in exchange traded fund pricing deviations: generalised control of data snooping bias.
Journal of Financial Markets, 19
.
pp. 86-109.
ISSN 1386-4181
Full text available as:
|
PDF
- Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
1MB |
Abstract
An investigation into Exchange Traded Fund (ETF) outperformance during the period 2008-2012 is undertaken utilising a data set of 288 US 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 generalised stepdown procedure in controlling for data snooping bias. It is found 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&P500 market benchmark.
| Item Type: | Article (Published) |
|---|---|
| Refereed: | Yes |
| Uncontrolled Keywords: | Exchange-traded fund; ETF performance; Multiple hypothesis testing; Data snooping bias |
| Subjects: | Business > Finance Business > Electronic commerce |
| DCU Faculties and Centres: | DCU Faculties and Schools > DCU Business School |
| Publisher: | Elsevier |
| Official URL: | http://dx.doi.org/10.1016/j.finmar.2013.08.003 |
| Copyright Information: | © 2012 Elsevier |
| Use License: | This item is licensed under a Creative Commons Attribution-NonCommercial-Share Alike 3.0 License. View License |
| ID Code: | 21738 |
| Deposited On: | 15 Mar 2017 17:03 by Thomas Murtagh . Last Modified 21 Feb 2022 13:37 |
Downloads
Downloads per month over past year
Archive Staff Only: edit this record
Altmetric
Altmetric