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Beta estimates for leveraged ETF

Peter Bell ()

MPRA Paper from University Library of Munich, Germany

Abstract: Leveraged ETF are mandated to provide a multiple of the return on an index for intraday time periods. I present statistical estimates of beta for two leveraged ETF and one index at sampling rates from one to twenty five minute sampling. I find that beta is close to the leverage factor for sampling rates between ten and twenty five minutes, which suggests the assets are being well priced.

Keywords: Leverage ETF; CAPM; Linear Dependence (search for similar items in EconPapers)
JEL-codes: G0 (search for similar items in EconPapers)
Date: 2010-11-24
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