Since their introduction in 2002, bond ETFs have grown dramatically, with more than $243
billion in assets by the end of 2012. Using data on gross flows from N-SAR filings, we provide …

Bond ETFs trading at a premium (discount) to NAV experience more creations (redemptions)
than those trading at parity. When these transactions occur, subsequent returns partially …

Trading simulations have become more common in the finance classroom. One problem with
traditional trading simulations is that using play money as currency often creates a situation …

This article examines ETF creations and redemptions around price deviations and finds that
the expected arbitrage trades are relatively rare in a broad sample of equity index ETFs. In …

The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing
detailed analyses of theoretical models and how they are used in practice. The JOD provides …

The commodity ETF market has reached an equilibrium where most precious-metal ETFs
are backed with physical assets, while other commodity ETFs tend to be backed with futures …

Theoretical considerations in Dybvig, Ingersoll, and Ross (1996) lead the authors to
conclude that long forward and zero-coupon rates can never fall. We examine this conjecture …

A long-standing debate has revolved around the question of whether information travels first
to the stock market or to the stock options market. Using an open interest-based predictor …

The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing
detailed analyses of theoretical models and how they are used in practice. The JOD provides …

The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing
detailed analyses of theoretical models and how they are used in practice. The JOD provides …