Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/217693 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Central Banking Theory and Practice [ISSN:] 2336-9205 [Volume:] 9 [Issue:] 1 [Publisher:] De Gruyter Open [Place:] Warsaw [Year:] 2020 [Pages:] 23-44
Publisher: 
De Gruyter Open, Warsaw
Abstract: 
This study examines the performance of fifty global exchanged-traded funds (ETFs) traded on US stock exchanges. Specifically, it refers to the period following the end of quantitative easing, which took place in 2014. Therefore, the data, on which the study is based, refer to the period from 24/10/2014 to 24/09/2018 and they are expressed in a weekly frequency. By employing the Capital Asset Pricing Model (CAPM), we evaluate the performance of fifty ETFs according to their rating by the MorningStar. Their performance was measured using Sharpe and Treynor ratios as well as Jensen’s alpha and the betas and a/b measures. The results of the study indicate that the examined ETFs show selectivity skills and present bearish behaviour in relation to the market during QE-tapering.
Subjects: 
CAPM
ETFs
selectivity skills
beta
Treynor ratio
Sharpe ratio
QE-tapering
JEL: 
G11
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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