The dynamics of leveraged ETFs returns: a panel data study

Leveraged exchange-traded funds (LETFs) are limited liability securities that allow investors to take daily constant leverage bets on a reference index. This work proposes a new empirical design to investigate the dynamics of quarterly LETFs returns. Rather than relying on fund-by-fund overlapping regressions, as in existing literature, the paper exploits a large panel of non-overlapping data covering the whole universe of Proshares, the US primary LETFs provider. Overall, it is found that the variables prescribed by theory broadly explain cross-sectional variability. It is also found that inverse LETFs and more generally, leveraged funds operating in asset classes like international equity, bonds and commodities underperform theoretical predictions. This underperformance is mainly attributed to frictions in the process of implementing the required daily leverage.     

中国式杠杆并购需提防"踩踏"风险

中美杠杆并购方式存在根本差别 如果从投资的视角回顾2016年,杠杆并购可当之无愧地成为首选关键词.其间在清理杠杆的时候出现了"门口的野蛮人"这个词语,使我们想到2008年或20世纪80年代时,美国市场上也出现了一批轰轰烈烈的杠杆并购案例,才会在书籍中出现把杠杆并购称为"门口的野蛮人".其实中国的杠杆并购可以探寻中国式的路径、渠道、效应,以及借鉴美国杠杆并购的一系列模式、工具和方法.     

ETFs的运作模式及借鉴

ETFs有既开放又封闭的特点，具有独到优势。对投资而言，其管理成本低，交易便利；对基金管理公司而言，采用股票赎回的方式能在一定程度上避免对基金管理的冲击；对监管当局而言，比一般封闭式基金在避免基金道德风险上有了进步。     

ETFs的组织结构

虽然有人认为ETFs和一些创新产品构成了对共同基金业的威胁，但也有一些专家认为ETFs不过是主流产品(如共同基金)之外的创新产品，短期内难以撼动基金业的根基。它们在快速繁殖与发展，但那属于演进而不属于革命。最重要的是这些产品对投资者究竟有什么好处，如何更好地保护公共投资者的利益。……     

海外ETFs交易模型

ETFs是一种在交易所交易的开放式指数基金，1993年产生于美国，在1998年后得到迅速发展，到2000年已成为美国基金市场的新宠，并在全球得到迅速发展。ETFs独特的交易方式，是其取得成功的重要原因。本文……     

A comparative analysis of leveraged recapitalization versus leveraged buyout as a takeover defense

Two types of defensive scheme—leveraged buyout (LBO) and leveraged recapitalization (LR)—are examined. In particular, this article examines (1) whether the two similar defensive tactics affect stockholder returns differently and (2) what firm attributes are associated with stockholder gains in LBO and LR announcements. This study finds that stocks of both LBO and LR firms, on average, exhibit significant positive abnormal returns during the announcement period, but that the latter experience substantially smaller returns than the former. This study further finds that while mitigation of agency problems associated with a firm's free cash flow is present for both LR and LBO firms, it is more pronounced for the LBO firms. These results provide evidence that a firm with higher free cash flow could benefit a greater reduction of agency costs by going private through a LBO plan than by remaining public through a LR plan.     

Capturing hedge fund risk factor exposures: Hedge fund return replication with ETFs

We develop a new factor selection methodology of spanning the space of hedge fund risk factors with all available exchange traded funds (ETFs). We demonstrate the efficacy of the methodology with out-of-sample individual hedge fund return replication by ETF clone portfolios. This is consistent with our interpretation of ETF returns as proxies to risk factors driving hedge fund returns. We further consider portfolios of “cloneable” and “noncloneable” hedge funds, defined as top and bottom in-sample R² matches, and demonstrate that our ETF clone portfolios slightly outperform cloneable hedge funds out of sample.     

Bondholder losses in leveraged buyouts

Announcements of successful leveraged buyouts (LBOs) duringJanuary 1985 to April 1989 caused a significantly negative returnon outstanding publicly traded nonconvertible bonds. Yet theaverage risk-adjusted debt holder losses are less than 7 percentof the average risk-adjusted equity bolder gains. Bond lossesare related to the pre-LBO rating, but only weakly to equityholder gains. We demonstrate that trader-quoted data from amajor investment bank offers conclusions about the effects ofLBOs on debt holders different from those drawn from commonlyused matrix and exchange-based data (such as Standard & Poor-'sBond Guide data). This has important implications for eventstudies involving debt instruments.     

The liquidity of active ETFs

Active exchange traded funds (ETFs) are less liquid than their underlying portfolios. We attribute this finding, which contrasts with that for passive ETFs, to uncertainty about the future holdings of active ETFs. In addition, while diversification generally reduces firm-specific information asymmetry and improves portfolio liquidity, it impairs the liquidity of active ETFs, consistently with the substitution effect between diversification and liquidity documented in the literature. We show that the gap between active ETF and underlying liquidity varies cross-sectionally and over time and can be explained by differences in size and volume between ETFs and their underlying portfolio, by ETF age, and by ETF pricing errors.     

On the heterogeneity of leveraged going private transactions

In contrast to previous literature, we argue that are two typesof poorly performing firms going private through a leveragedbuyout (LBO). One group consists of firms in which managersown an insignificant fraction of their firm's stock and arevulnerable to a hostile takeover. The other group consists offirms in which managers own a significant fraction of theirfirm's stock and so face little risk of hostile takeover. Ourevidence indicates that there are two such groups of LBOs andthat their motivations and posttransaction actions are different.     

Club deals in leveraged buyouts

We analyze the pricing and characteristics of club deal leveraged buyouts (LBOs)—those in which two or more private equity partnerships jointly conduct an LBO. Using a comprehensive sample of completed LBOs of U.S. publicly traded targets conducted by prominent private equity firms, we find that target shareholders receive approximately 10% less of pre-bid firm equity value, or roughly 40% lower premiums, in club deals compared to sole-sponsored LBOs. This result is concentrated before 2006 and in target firms with low institutional ownership. These results are robust to controls for target and deal characteristics, including size, Q, measures of risk, and time and industry fixed effects. We find little support for benign motivations for club deals based on capital constraints, diversification motives, or the ability of clubs to obtain favorable debt amounts or prices, but it is possible that the lower pricing of club deals is an inadvertent byproduct of an unobserved benign motivation for club formation.     

The performance of reverse leveraged buyouts

Reverse leveraged buyouts (RLBOs) have received increased public scrutiny but attracted little systematic study. We collect a comprehensive sample of 526 RLBOs between 1981 and 2003 and examine the three-year and five-year stock performance of these offerings. RLBOs appear to perform as well as or better than other initial public offerings and the stock market as a whole, depending on the specification. Evidence exists of a deterioration of returns over time.     

ETFs能做什么?

随着近年来ETFs在全球的迅猛发展,ETFs产品已经越来越工具化了.这是因为ETFs的优势越来越体现在:富有弹性的产品设计与灵活便利的交易机制或交易方式结合在一起,使ETFs成为多角度的、多层面的各种动态的投资组合或资产配置的一个不可或缺的组成部分.因此,ETFs不再仅仅是一个投资产品,可以被投资者用来做很多事情.     

Rational pricing of leveraged ETF expense ratios

Annals of Finance - This paper studies the general relationship between the gearing ratio of a Leveraged ETF and its corresponding expense ratio, viz., the investment management fees that are...     

国内推出ETFS的若干问题探讨

作为近年来国际上增长最快的金融创新产品，ETFs的成功与其自身的特点和优势以及所在证券市场的法律、监管、税收、市场环境均有着密切的联系；另一方面，ETFs也存在自身固有的一些缺点和局限，与传统的开放式基金相比各有利弊，而并非绝对地优于后者。 本文对ETFs这一近期在国内备受关注的新型基金产品做一客观的较为全面的分析，并在此基础上就现阶段在国内推出ETFs的可行性进行探讨。……     

美国ETFs的多样化市场功能

随着近年来E1lFs在全球的迅猛发展，ETFs产品已经越来越工具化了。FIR的优势越来越体现在：富有弹性的产品设计与灵活便利的交易机制或交易方式结合在一起，使ETFs成为多角度的、多层面的各种动态的投资组合或资产配置的一个不可或缺的组成部分。ETFs不再仅仅是一个投资产品而已。     

Predicting the duration and reversal probability of leveraged buyouts

We examine the probability that a firm will return to public status following a leveraged buyout (LBO) transaction and for those LBOs that will eventually reverse, we examine the factors that impact the timing of the reversal. These two dimensions of the reversal decision are studied by estimating standard and split population hazard models for a sample of 343 LBO transactions. Our results indicate that not all LBO firms eventually will reverse, i.e. the net benefits of private status for some firms appear to be permanent. For those LBOs that will reverse, reversal probabilities are found to increase over the first seven or eight years following a typical LBO, then to decline thereafter.     

Analysis of intraday herding behavior among the sector ETFs

A body of literature has emerged suggesting that investors herd, or tend to make investment decisions on the basis of information provided by the trades of other market participants. In this paper, we use intraday data to examine whether traders herd during periods of extreme market movements using sector Exchange Traded Funds (ETFs). Two procedures, one based on identifying extreme up market and down market periods and the other based on incorporating a nonlinear term in a regression specification, are used to identify the possibility of the existence of herding behavior in nine sector ETFs traded on the American Stock Exchange. The results support the conclusion that investors do not herd during periods of extreme market movements using ETFs. Furthermore, we show that the market reaction to news is not symmetric for up markets and down markets.     

Intraday indirect arbitrage between European index ETFs

We investigate intraday arbitrage between close substitute Exchange-traded Funds (ETFs) on two major European indices: FTSE100 and DAX30. Using intraday data, we establish arbitrage links between our ETFs through cointegration and error correction models. We then apply an arbitrage identification procedure on approximately 18 million intraday matched quotes, resulting in 1.95% and 0.2% of observations on the ETF pairs for FTSE100 and DAX30 as arbitrage opportunities. They occur on specific days in our sample, disappear relatively quickly, and result in economically insignificant profits from arbitrage trades within the mispricing window, indicating overall price efficiency.