(In)Efficiencies in Latin American ETFs

Título traducido de la contribución: (In)eficiencias en los Fondos Cotizados en bolsa–ETFs–Latinoamericanos

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

Resultado de la investigación: Contribución a RevistaArtículo

Resumen

Este estudio evalúa empíricamente la eficiencia en la valoración de varios
ETFs latinoamericanos, expresada en desviaciones de sus precios
de mercado frente a los valores liquidativos subyacentes. Se cuantifican
tales ineficiencias y se implementa una estrategia de negociación verificada
por regresiones basadas en el CAPM y el Modelo Fama-French. Los
resultados discrepan con la Hipótesis de los Mercados Eficientes y son
mejor explicados por aspectos de las finanzas comportamentales. Finalmente, se examina cómo las desviaciones influyen sobre la decisión de
creación o redención de ETFs, mediante un análisis de regresión logística.
Los resultados evidencian que los participantes autorizados reaccionan
ante las ineficiencias realizando transacciones en el mercado primario.
Idioma originalEnglish (US)
Páginas (desde-hasta)7-48
Número de páginas42
PublicaciónCuadernos de Administracion
Volumen29
N.º53
DOI
EstadoPublished - 2016

Huella dactilar

Exchange traded funds
Inefficiency
Behavioral finance
Capital asset pricing model
Pricing efficiency
Deviation
Trading strategies
Asset value
Efficient market hypothesis
Excess returns
Logit regression

All Science Journal Classification (ASJC) codes

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

Citar esto

Kreis, Yvonne ; Licht, Johannes W. ; Useche, Alejandro J. / (In)Efficiencies in Latin American ETFs. En: Cuadernos de Administracion. 2016 ; Vol. 29, N.º 53. pp. 7-48.
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(In)Efficiencies in Latin American ETFs. / Kreis, Yvonne; Licht, Johannes W.; Useche, Alejandro J.

En: Cuadernos de Administracion, Vol. 29, N.º 53, 2016, p. 7-48.

Resultado de la investigación: Contribución a RevistaArtículo

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