Andrei Kirilenko
Andrei Kirilenko

ETF (Mis)pricing

ETF (Mis)pricing

27/08/2025

14:00

-

14:30

It is assumed in the news-based model of stock pricing (NBSPM) that stock prices are determined with macroeconomic news (modeled with the total market return in the spirit of CAPM), industry news (modeled with the relevant industry ETF returns), and the company-specific news and momentum that are described using an optimal ARMA-GARCH model. In this work, the NBSPM accuracy for forecasting stock prices is compared with that of the momentum-enhanced five-factor Fama-French model. The results for a representative list of holdings of nine major US equity sector ETFs demonstrates superiority of the NBSPM in most cases.

It is assumed in the news-based model of stock pricing (NBSPM) that stock prices are determined with macroeconomic news (modeled with the total market return in the spirit of CAPM), industry news (modeled with the relevant industry ETF returns), and the company-specific news and momentum that are described using an optimal ARMA-GARCH model. In this work, the NBSPM accuracy for forecasting stock prices is compared with that of the momentum-enhanced five-factor Fama-French model. The results for a representative list of holdings of nine major US equity sector ETFs demonstrates superiority of the NBSPM in most cases.

Antonio Gargano
Keynote: "Lessons from fintech-academic collaborations"
25-27 August 2025

25/08/2025

Antonio Gargano

Keynote
Antonio Gargano
Keynote: "Lessons from fintech-academic collaborations"
25-27 August 2025

25/08/2025

Antonio Gargano

Keynote
Emilia Bunea
Keynote: "Leadership for finance professionals: A CEO-turned-leadership-scholar perspective"
25-27 August 2025

25/08/2025

Emilia Bunea

Keynote
Emilia Bunea
Keynote: "Leadership for finance professionals: A CEO-turned-leadership-scholar perspective"
25-27 August 2025

25/08/2025

Emilia Bunea

Keynote
Allan Mendelowitz
Keynote: "The promise of digital finance: Greater transparency, enhanced efficiency, and more effective and less burdensome regulation"
25-27 August 2025

26/08/2025

Allan Mendelowitz

Keynote
Allan Mendelowitz
Keynote: "The promise of digital finance: Greater transparency, enhanced efficiency, and more effective and less burdensome regulation"
25-27 August 2025

26/08/2025

Allan Mendelowitz

Keynote
Albert Menkveld
Keynote: "What we can learn today about the markets of tomorrow: Crypto, crashes and credible research"
25-27 August 2025

27/08/2025

Albert Menkveld

Keynote
Albert Menkveld
Keynote: "What we can learn today about the markets of tomorrow: Crypto, crashes and credible research"
25-27 August 2025

27/08/2025

Albert Menkveld

Keynote