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DeFusco et al., 2011 - Google Patents

The exchange traded funds' pricing deviation: analysis and forecasts

DeFusco et al., 2011

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Document ID
12621039185591813190
Author
DeFusco R
Ivanov S
Karels G
Publication year
Publication venue
Journal of Economics and Finance

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Snippet

In this paper, we study the pricing deviations of the three most liquid Exchange Traded Funds from the price of the underlying index. We examine Spider, Diamonds, and Cubes and find that their price deviation is predictable and nonzero. Therefore, the pricing deviation …
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