Value at Risk and the cross-section of exchange traded fund returns
碩士 === 嶺東科技大學 === 財務金融研究所 === 101 === In this study, I attempt to explore the relation between the Value at Risk (VaR) and the cross-section expected return for the exchange traded fund (ETF). My sample consists of the all active ETFs traded in United State market during January 2011 to December...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/18716703972179831516 |