Bell, Peter N (2010): Beta estimates for leveraged ETF.
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Abstract
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 |
| Language: | English |
| Keywords: | Leverage ETF, CAPM, Linear Dependence |
| Subjects: | G - Financial Economics > G0 - General |
| Item ID: | 26950 |
| Depositing User: | Peter N Bell |
| Date Deposited: | 24 Nov 2010 20:16 |
| Last Modified: | 27 Sep 2019 16:33 |
| References: | Epps, T. W., 1979. Comovements in Stock Prices in the Very Short Run. Journal of the American Statistical Association 74, 291-298 . Jarrow, R.A., 2010. Understanding the risk of leveraged ETFs. Finance Research Letters 7, 135–139. |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/26950 |
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