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Outperformance in exchange-traded fund pricing deviations: generalized control of data snooping bias

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Show simple item record Kearney, Fearghal Murphy, Finbarr Cummins, Mark 2018-10-25T08:06:02Z 2018-10-25T08:06:02Z 2014
dc.description peer-reviewed en_US
dc.description.abstract 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. (C) 2013 Elsevier B.V. All rights reserved. en_US
dc.language.iso eng en_US
dc.publisher Elsevier en_US
dc.relation.ispartofseries Journal of Financial Markets;19, pp. 86-109
dc.rights This is the author’s version of a work that was accepted for publication in Journal of Financial Markets. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Financial Markets, 2014, 19, pp.86-109, en_US
dc.subject exchange-traded fund en_US
dc.subject ETF performance en_US
dc.subject multiple hypothesis testing en_US
dc.subject data snooping bias en_US
dc.title Outperformance in exchange-traded fund pricing deviations: generalized control of data snooping bias en_US
dc.type info:eu-repo/semantics/article en_US
dc.type.supercollection all_ul_research en_US
dc.type.supercollection ul_published_reviewed en_US 2018-10-25T07:58:41Z
dc.identifier.doi 10.1016/j.finmar.2013.08.003
dc.rights.accessrights info:eu-repo/semantics/openAccess en_US
dc.internal.rssid 1573686
dc.internal.copyrightchecked Yes
dc.identifier.journaltitle Journal Of Financial Markets
dc.description.status peer-reviewed

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