Abstract
dc:description.abstractThis paper investigates differences in returns between the ETF price, Net Asset Value, and Benchmark Asset Baskets for five popular futures-backed ETFs. We decompose tracking difference to examine the relative size of tracking differences attributable to managers versus the arbitrage process. Tracking differences attributable to managers is found to be significantly smaller than that attributable to the arbitrage process. We then test for average Tracking Differences using the Mincer-Zarnowitz Equation. We find evidence of bias in returns for multiple ETFs and demonstrate the usefulness of the decomposition. Furthermore, we investigate the dynamics of Tracking Error using a GARCH methodology. We find support that the volatility of the ETF effects Tracking Error but find no evidence that rolling futures contracts influences Tracking Error.
Degree
thesis:*- Name thesis:degree_name
- Master of Science
- Level thesis:degree_level
- masters
- Discipline thesis:degree_discipline
- Agricultural and Applied Economics
- Department dc:contributor.department
- Agricultural and Applied Economics
- Grantor dc:publisher
- Virginia Tech
- Year dc:date.issued
- 2021
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Hassman, Colburn Hastings
- Chairs dc:contributor.committeechair
-
- Isengildina Massa, Olga
- Stewart, Shamar L.
- Committee member dc:contributor.committeemember
-
- Spicer, Cara Anne
Subjects
dc:subject × 4Rights
dc:rights- Statement dc:rights
-
- In Copyright
- Licence dc:rights.uri
Identifiers
dc:identifier.*- Dc Identifier Other
- vt_gsexam:30431
- OAI identifier oai:identifier
- oai:vtechworks.lib.vt.edu:10919/103596