Leverage Corrections to Price Discovery Measures With an Application to Leveraged Exchange-Traded Funds
New measures introduced in a study show that regular ETFs dominate the price discovery process for the SP 500 index, correcting the leverage bias.
Featured in No. 71 on 23 Oct 2024 · 5 days after release · 0 citations today
- Released
- 18 Oct 2024
- First featured
- No. 71 · 23 Oct 2024
- Citations (Semantic Scholar)
- 0
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4993940
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).