| dc.creator | de Genaro, Alan | |
| dc.creator | Avellaneda, Marco | |
| dc.date | 2019-01-04 | |
| dc.date.accessioned | 2022-11-03T21:19:24Z | |
| dc.date.available | 2022-11-03T21:19:24Z | |
| dc.identifier | https://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/31732 | |
| dc.identifier.uri | https://repositorioslatinoamericanos.uchile.cl/handle/2250/5048049 | |
| dc.description | 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. | en-US |
| dc.format | application/pdf | |
| dc.language | eng | |
| dc.publisher | Sociedade Brasileira de Econometria | en-US |
| dc.relation | https://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/31732/74745 | |
| dc.source | Brazilian Review of Econometrics; Vol. 38 No. 2 (2018); 287-319 | en-US |
| dc.source | Brazilian Review of Econometrics; v. 38 n. 2 (2018); 287-319 | pt-BR |
| dc.source | 1980-2447 | |
| dc.subject | Hard-to-Borrow | en-US |
| dc.subject | Leverage ETF | en-US |
| dc.subject | Simulated Maximum Likelihood | en-US |
| dc.subject | Jumps | en-US |
| dc.subject | G12 | en-US |
| dc.subject | G23 | en-US |
| dc.subject | C15 | en-US |
| dc.title | Does the Lending Rate Impact ETF's Prices? | en-US |
| dc.type | info:eu-repo/semantics/article | |
| dc.type | info:eu-repo/semantics/publishedVersion | |
