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- W2260646975 abstract "In this paper we developed an econometric model to empirically test the hard-to-borrow model of Avellaneda and Lipkin (2009) where asset prices jump as result of buy-in procedures. The model is estimated using an extent version of simulated maximum likelihood (SML) for a selected group of Leveraged ETF, mainly short LETFs, because these instruments have been sporadically hard-to-borrow and are liquids. In general we do not find enough statistical evidence supporting that hard-to-borrow effect impacts LETFs prices. On the other hand, we did find statistical evidence supporting the jump-diffusion model for some Leveraged ETFs." @default.
- W2260646975 created "2016-06-24" @default.
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- W2260646975 date "2012-01-01" @default.
- W2260646975 modified "2023-09-23" @default.
- W2260646975 title "Does the Lending Rate Impact ETF's Prices?" @default.
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- W2260646975 doi "https://doi.org/10.2139/ssrn.2044839" @default.
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