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

页码：37 / 66

页数：30

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