(In)Efficiencies in Latin American ETFs

Yvonne Kreis; Johannes W. Licht; Alejandro J. Useche

doi:10.11144/cao29-53.elae

(In)Efficiencies in Latin American ETFs

Yvonne Kreis, Johannes W. Licht, Alejandro J. Useche

Research output: Contribution to journal › Research Article › peer-review

3 Scopus citations

Abstract

This study empirically evaluates the pricing efficiency of several Latin American Exchange Traded Funds (ETFs) regarding deviations of ETF prices from their underlying net asset values (NAVs). A measure of these inefficiencies is made by implementing a trading strategy and running CAPM and Fama-French regressions to determine the excess return of the trading. Results do not conform to the Efficient Market Hypothesis, but rather support aspects of behavioral finance. Finally, it is addressed how these inefficiencies influence the decision for ETF share creation and redemption via logit regression analyses. Results highlight that ETF authorized partners react to inefficiencies by trading within the ETF primary market.

Translated title of the contribution	(In)eficiencias en los Fondos Cotizados en bolsa–ETFs–Latinoamericanos
Original language	English (US)
Pages (from-to)	7-48
Number of pages	42
Journal	Cuadernos de Administracion
Volume	29
Issue number	53
DOIs	https://doi.org/10.11144/cao29-53.elae
State	Published - 2016

All Science Journal Classification (ASJC) codes

Business and International Management
Economics, Econometrics and Finance(all)
Strategy and Management

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title = "(In)Efficiencies in Latin American ETFs",

abstract = "This study empirically evaluates the pricing efficiency of several Latin American Exchange Traded Funds (ETFs) regarding deviations of ETF prices from their underlying net asset values (NAVs). A measure of these inefficiencies is made by implementing a trading strategy and running CAPM and Fama-French regressions to determine the excess return of the trading. Results do not conform to the Efficient Market Hypothesis, but rather support aspects of behavioral finance. Finally, it is addressed how these inefficiencies influence the decision for ETF share creation and redemption via logit regression analyses. Results highlight that ETF authorized partners react to inefficiencies by trading within the ETF primary market.",

author = "Yvonne Kreis and Licht, {Johannes W.} and Useche, {Alejandro J.}",

year = "2016",

doi = "10.11144/cao29-53.elae",

language = "English (US)",

volume = "29",

pages = "7--48",

journal = "Cuadernos de Administracion",

issn = "0120-3592",

publisher = "Editorial Pontificia Universidad Javeriana",

number = "53",

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T1 - (In)Efficiencies in Latin American ETFs

AU - Kreis, Yvonne

AU - Licht, Johannes W.

AU - Useche, Alejandro J.

PY - 2016

Y1 - 2016

N2 - This study empirically evaluates the pricing efficiency of several Latin American Exchange Traded Funds (ETFs) regarding deviations of ETF prices from their underlying net asset values (NAVs). A measure of these inefficiencies is made by implementing a trading strategy and running CAPM and Fama-French regressions to determine the excess return of the trading. Results do not conform to the Efficient Market Hypothesis, but rather support aspects of behavioral finance. Finally, it is addressed how these inefficiencies influence the decision for ETF share creation and redemption via logit regression analyses. Results highlight that ETF authorized partners react to inefficiencies by trading within the ETF primary market.

AB - This study empirically evaluates the pricing efficiency of several Latin American Exchange Traded Funds (ETFs) regarding deviations of ETF prices from their underlying net asset values (NAVs). A measure of these inefficiencies is made by implementing a trading strategy and running CAPM and Fama-French regressions to determine the excess return of the trading. Results do not conform to the Efficient Market Hypothesis, but rather support aspects of behavioral finance. Finally, it is addressed how these inefficiencies influence the decision for ETF share creation and redemption via logit regression analyses. Results highlight that ETF authorized partners react to inefficiencies by trading within the ETF primary market.

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JO - Cuadernos de Administracion

JF - Cuadernos de Administracion

IS - 53

ER -

(In)Efficiencies in Latin American ETFs

Abstract

All Science Journal Classification (ASJC) codes

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