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2016
- handle: 10670/1.m454o0
- 0120-3592
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Cuadernos de Administración
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Yvonne Kreis et al., « (In)Efficiencies in Latin American ETFs », Cuadernos de Administración, ID : 10670/1.m454o0
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Résumé
"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."