The Impact of Leveraged and Inverse ETFs on Underlying Real Estate Returns

被引：8
|
作者：
Bai, Qing [1 ]
Bond, Shaun A. [1 ]
Hatch, Brian [1 ]
机构：
[1] Univ Cincinnati, Dept Finance, Cincinnati, OH 45221 USA
来源：
REAL ESTATE ECONOMICS | 2015年 / 43卷 / 01期
关键词：
D O I：
10.1111/1540-6229.12061
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Leveraged and inverse ETFs (LETFs) were introduced in 2006. By 2008 there was concern that the requirement of LETFs to rebalance near the close might have a significant impact on the prices of the stocks in the underlying indexes. We examine the impact of trading activity induced by six real estate-related LETFs on the late-day price dynamics of 63 real estate sector stocks. Through a comparison of sample and control stocks and through a regression model of LETF rebalancing, we find that these LETFs significantly impact the prices of component stocks, increase their volatility and contribute to price momentum.
引用
收藏
页码：37 / 66
页数：30
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