Pauline M. Shum

York University - Schulich School of Business

4700 Keele Street

Toronto, Ontario M3J 1P3

Canada

SCHOLARLY PAPERS

10

DOWNLOADS
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Top 6,997

in Total Papers Downloads

5,132

CITATIONS
Rank 33,136

SSRN RANKINGS

Top 33,136

in Total Papers Citations

6

Scholarly Papers (10)

1.

Intraday Share Price Volatility and Leveraged ETF Rebalancing

Number of pages: 49 Posted: 13 Oct 2012 Last Revised: 07 Jan 2016
Pauline M. Shum, Walid Hejazi, Edgar Haryanto and Arthur Rodier
York University - Schulich School of Business, University of Toronto - Rotman School of Management, Independent and Independent
Downloads 2,872 (1,826)

Abstract:

Leveraged ETF, ETF, Intraday volatility, Swap counterparties, market volatility, market microstructure

2.

The Long and Short of Leveraged ETFs: The Financial Crisis and Performance Attribution

Number of pages: 50 Posted: 22 Jul 2010 Last Revised: 06 Jun 2012
Pauline M. Shum
York University - Schulich School of Business
Downloads 516 (34,404)
Citation 1

Abstract:

Leveraged ETF, inverse ETF, Exchange Traded Funds, Financial Crisis, Portfolio Performance

3.

Does Liquidity Encourage Short-Term Trading? Evidence from Exchange-Traded Funds

Number of pages: 36 Posted: 01 Dec 2013 Last Revised: 25 Mar 2017
Markus S. Broman and Pauline M. Shum
Syracuse University - Whitman School of Management and York University - Schulich School of Business
Downloads 199 (75,876)

Abstract:

Short-Term Trading, Liquidity, Liquidity Clientele, ETF, Fund Flows, Institutional Investors

4.

All are Not Created Equal: An Exploration of ETF Asset Growth

Number of pages: 32 Posted: 03 May 2012
Pauline M. Shum, Yongjian Chen and Allen Kwong
York University - Schulich School of Business, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 178 (123,869)

Abstract:

Exchange traded funds, ETFs, Asset Growth, Investor Attention, Clientele Effect

5.

How Passive are International ETFs? A Study of Their Intraday Behaviour

Number of pages: 24 Posted: 06 Aug 2010 Last Revised: 09 Aug 2010
Pauline M. Shum
York University - Schulich School of Business
Downloads 148 (146,810)
Citation 1

Abstract:

6.

The Influence of Productivity on Asset Pricing

Number of pages: 45 Posted: 26 Mar 2008 Last Revised: 06 Jan 2009
University of Toronto - Rotman School of Management, University of Ontario Institute of Technology, University of Toronto - Rotman School of Management and York University - Schulich School of Business
Downloads 114 (192,725)

Abstract:

Asset Pricing, Productivity

7.

The Auction Market for Modern Prints: Confirmations, Contradictions, and New Puzzles

Economic Inquiry, Vol. 46, Issue 2, pp. 149-159, April 2008
Number of pages: 11 Posted: 18 Apr 2008
James E. Pesando and Pauline M. Shum
University of Toronto and York University - Schulich School of Business
Downloads 4 (516,655)
Citation 4

Abstract:

8.

The 1992 Canadian Constitutional Referendum: Using Financial Data to Assess Economic Consequences

Posted: 24 Jul 2010
Pauline M. Shum
York University - Schulich School of Business

Abstract:

9.

What Explains Household Stock Holding?

Journal of Banking and Finance, Vol. 30, No. 9, 2006
Posted: 05 Jan 2009 Last Revised: 04 Aug 2010
Miquel Faig and Pauline M. Shum
University of Toronto Mississauga and York University - Schulich School of Business

Abstract:

Portfolio Choice, Asset Allocation, SCF, household finance

10.

Portfolio Choice in the Presence of Personal Illiquid Projects

Journal of Finance, Vol. 57, pp. 303-328, 2002
Posted: 22 Nov 2003 Last Revised: 22 Jul 2010
Miquel Faig and Pauline M. Shum
University of Toronto Mississauga and York University - Schulich School of Business

Abstract: