The Impact of Leveraged and Inverse ETFs on Underlying Real Estate Returns
研究了六只房地产相关杠杆和反向ETF在交易日尾盘的重仓调整对63只房地产股票价格、波动性和动量的影响，发现这些ETF显著影响了成分股的价格。
Leveraged and inverse ETFs (LETFs) were introduced in 2006. By 2008 there was concern that the requirement of LETFs to rebalance near the close might have a significant impact on the prices of the stocks in the underlying indexes. We examine the impact of trading activity induced by six real estate‐related LETFs on the late‐day price dynamics of 63 real estate sector stocks. Through a comparison of sample and control stocks and through a regression model of LETF rebalancing, we find that these LETFs significantly impact the prices of component stocks, increase their volatility and contribute to price momentum.