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• W3094559327 abstract "Using a new panel quantile regression approach, this research explores how investor attention and policy uncertainties affect conditional return distributions for 126 cross-border U.S. trading single-country exchange traded funds (ETFs). We find that economic, fiscal, and monetary policy uncertainties negatively impact most of the ETF return quantiles, implying that a non-linear relationship exists, but trade policy uncertainty has asymmetric impacts on current returns that are salient positive in the following period. Therefore, considering four policy uncertainties allows us to completely analyze a single-country ETF market, thus providing valuable insights for ETF portfolio investors, hedge trading, and policymakers." @default.
• W3094559327 created "2020-10-29" @default.
• W3094559327 creator A5024113186 @default.
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• W3094559327 date "2021-01-01" @default.
• W3094559327 modified "2023-10-17" @default.
• W3094559327 title "The effects of investor attention and policy uncertainties on cross-border country exchange-traded fund returns" @default.
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• W3094559327 doi "https://doi.org/10.1016/j.iref.2020.10.015" @default.
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