
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.
Leverage ETF, CAPM, Linear Dependence, G0 - General, economics, jel: jel:G0
Leverage ETF, CAPM, Linear Dependence, G0 - General, economics, jel: jel:G0
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