(In)Efficiencies in Latin American ETFs

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

Research output: Contribution to journalArticle

1 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 languageEnglish (US)
Pages (from-to)7-48
Number of pages42
JournalCuadernos de Administracion
Volume29
Issue number53
DOIs
StatePublished - 2016

All Science Journal Classification (ASJC) codes

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

Fingerprint Dive into the research topics of '(In)Efficiencies in Latin American ETFs'. Together they form a unique fingerprint.

  • Cite this