Bell, Peter N (2010): Beta estimates for leveraged ETF.
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Leveraged ETF are mandated to provide a multiple of the return on an index for intraday time periods. I present statistical estimates of beta for two leveraged ETF and one index at sampling rates from one to twenty five minute sampling. I find that beta is close to the leverage factor for sampling rates between ten and twenty five minutes, which suggests the assets are being well priced.
|Item Type:||MPRA Paper|
|Original Title:||Beta estimates for leveraged ETF|
|Keywords:||Leverage ETF, CAPM, Linear Dependence|
|Subjects:||G - Financial Economics > G0 - General|
|Depositing User:||Peter N Bell|
|Date Deposited:||24. Nov 2010 20:16|
|Last Modified:||23. Feb 2015 16:18|
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