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Outperformance in exchange-traded fund pricing deviations: generalized control of data snooping bias

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journal contribution
posted on 2018-10-25, 08:06 authored by Fearghal Kearney, Finbarr MurphyFinbarr Murphy, Mark Cummins
An investigation into exchange-traded fund (ETF) outperforrnance during the period 2008-2012 is undertaken utilizing a data set of 288 U.S. traded securities. ETFs are tested for net asset value (NAV) premium, underlying index and market benchmark outperformance, with Sharpe, Treynor, and Sortino ratios employed as risk-adjusted performance measures. A key contribution is the application of an innovative generalized stepdown procedure in controlling for data snooping bias. We find that a large proportion of optimized replication and debt asset class ETFs display risk-adjusted premiums with energy and precious metals focused funds outperforming the S&P 500 market benchmark. (C) 2013 Elsevier B.V. All rights reserved.

History

Publication

Journal of Financial Markets;19, pp. 86-109

Publisher

Elsevier

Note

peer-reviewed

Rights

This is the author’s version of a work that was accepted for publication in Journal of Financial Markets. Changes resulting from the publishing process, such as peer review

Language

English

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