ETF Arbitrage, Non-Fundamental Demand, and Return Predictability*

DOI10.1093/ROF/RFAA027zbMath1471.91561OpenAlexW3121485504MaRDI QIDQ5157699

Shaun William Davies, Matthew C. Ringgenberg, David C. Brown

Publication date: 19 October 2021

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rof/rfaa027

zbMATH Keywords

return predictabilityexchange-traded funds (ETFs)ETF flowsnon-fundamental demand

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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