(In)Efficiencies in Latin American ETFs
This study empirically evaluates the pricing efficiency of several LatinAmerican Exchange Traded Funds (ETFs) regarding deviations of ETFprices from their underlying net asset values (NAVs). A measure of theseinefficiencies is made by implementing a trading strategy and runningCAPM and Fama-French r...
| Autor Principal: | Kreis, Yvonne; Johannes Gutenberg Universitat Mainz |
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| Otros Autores: | Licht, Johannes W.; Johannes Gutenberg Universitat Mainz, Useche Arévalo, Alejandro José; Universidad del Rosario |
| Formato: | info:eu-repo/semantics/article |
| Idioma: | eng |
| Publicado: |
Pontificia Universidad Javeriana
2017
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| Materias: | |
| Acceso en línea: |
http://revistas.javeriana.edu.co/index.php/cuadernos_admon/article/view/17807 |
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| Sumario: |
This study empirically evaluates the pricing efficiency of several LatinAmerican Exchange Traded Funds (ETFs) regarding deviations of ETFprices from their underlying net asset values (NAVs). A measure of theseinefficiencies is made by implementing a trading strategy and runningCAPM and Fama-French regressions to determine the excess return ofthe trading. Results do not conform to the Efficient Market Hypothesis,but rather support aspects of behavioral finance. Finally, it is addressedhow these inefficiencies influence the decision for ETF share creationand redemption via logit regression analyses. Results highlight thatETF authorized partners react to inefficiencies by trading within the ETFprimary market. |
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