Banner
您现在的位置: shufe >> 首页 >> 研究成果 >> 论文 >> 正文

论文
固顶文章我院朱杰、朱小能老师的论文被Journal of Banking and Finance期刊接受
普通文章我院李科、陆蓉老师在《经济研究》发文
普通文章上海财经大学权威期刊A 权威期刊B 目录
普通文章上海财经大学优秀科研成果奖励条例
普通文章上海财经大学SSCI SCI A&HCI 论文奖励规定
普通文章我院教师在Journal of Financial and Quantitative Analysis(JFQA)期刊发文
普通文章金融学院刘莉亚教授在《经济研究》2013年第5期发表一篇论文
友情链接
上海国际金融中心研究院
现代金融研究中心
小企业融资研究中心
金融科学实验中心

我院教师路磊论文获得美国17th Annual ASBBS conference最佳投资论文奖
发布时间:2010-2-25 来源:金融学院  


上海财经大学金融学院路磊博士与美国纽约城市大学王骏博士,美国长岛大学张舸博士合作撰写的论文“Long Term Performance of Leveraged ETFs” 获得美国17th Annual ASBBS conference最佳投资论文奖。

简介In this paper, we study leveraged ETFs, in particular, Ultra ETFs and UltraShort ETFs from the ProShares family. These Ultra (UltraShort) ETFs are designed to provide twice (twice the opposite) of the performance of the benchmark on a daily basis. We focus on the relation between long term performance of leveraged ETFs and benchmarks. Our results show that over holding periods no greater than one month, an investor can safely assume that the Ultra (UltraShort) ETF would provide twice the return (twice the negative return) of the underlying benchmark. Over the holding period of one quarter, the UltraShort ETFs can deviate from twice the negative returns of the benchmark. For Ultra ETFs, this deviation occurs when the holding period is one year. Finally, we show that the long term performance of the leveraged ETFs is negatively impacted by the quadratic variation and the auto-variation during the period, with auto-variation being the more dominant factor.

  • 上一篇文章: 没有了

  • 下一篇文章:


  • 版权所有 上海财经大学金融学院
    通讯地址: 上海市国定路777号;  办公地址:上海市武东路100号毓秀楼

     邮编:200433           电话 021-65904556             传真:021-65103925