The “Roll Yield” Myth
Author:
Affiliation:
1. Hendrik Bessembinder is the Francis J. and Mary B. Labriola Endowed Chair in Competitive Business at the W.P. Carey School of Business, Arizona State University, Tempe.
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance,Accounting
Link
https://www.tandfonline.com/doi/pdf/10.2469/faj.v74.n2.5
Reference13 articles.
1. Predictable ETF Order Flows and Market Quality
2. Liquidity, resiliency and market quality around predictable trades: Theory and evidence
3. Explaining the negative returns to volatility claims: An equilibrium approach
4. The Strategic and Tactical Value of Commodity Futures
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