Publicado feb 20, 2017



PLUMX
Almetrics
 
Dimensions
 

Google Scholar
 
Search GoogleScholar


Yvonne Kreis

Johannes W. Licht

Alejandro José Useche Arévalo http://orcid.org/0000-0002-4462-6721

##plugins.themes.bootstrap3.article.details##

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.
Keywords

Exchange-traded funds, inefficiency, price/ NAV ratio, creation & redemption, investments.fundos de índice, ineficiência, coeficiente preçovalor liquidativo, criação e retenção, investimento.fondos cotizados en bolsa, ineficiencia, coeficiente precio/valor liquidativo, creación y redención, inversiones.

References
Aber, J., Li, D., and Can, L. (2009). Price volatility and tracking ability of ETFs. Journal of Asset Management, 10 (4), 210-221.

Abreu, D., and Brunnermeier, K. (2002). Synchronization risk and delayed arbitrage. Journal of Financial Economics, 6 (2), 341-360.

Antoniewicz, R., and Heinrichs, J. (2014). Understanding Exchange-traded Funds: How ETFs Work. ICI Research Perspective, 20 (5), 1-40.

Barberis, N. and Thaler, R. (2003). A Survey of Behavioral Finance. In G. Constantinides, M. Harris and R. Stulz (Eds.), Handbook of Economics of Finance (pp. 1053-1123). New York: Elsevier.

Baş, N., and Sarioğlu, S. (2001). Can Investors Profit from the Prophets? Security Analyst Rrecommendations and Stock Returns. Journal of Finance, 56 (2), 531-563.

Black, F. (1986). Noise. Journal of Finance, 41 (3), 529-543.

Black, F., Jensen, M., and Scholes, M. (1972). The capital asset pricing model: Some empirical tests. In M. Jensen (Ed.), Studies in the Theory of Capital Markets (pp. 79-121). New York: Praeger.

BlackRock (2015). Investor Guide to ETFs. Downloaded on 30 May, 2016 from https://www.blackrock. com/sg/en/literature/brochure/blackrock-investor-guide-to-etfs.pdf.

Boldin, M., and Cici, G. (2010). The index fund rationality paradox. Journal of Banking & Finance, 34 (1), 33-43.

Charteris, A., Chau, F., Gavriilidis, K., and Kallinterakis, V. (2014). Premiums, discounts, and feedback trading: Evidence from emerging markets’ ETFs. International Review of Financial Analysis, 35, 80-89.

Charupat, N., and P. Miu (2013). Recent development in exchange-traded fund literature: Pricing efficiency, tracking ability, and effects on underlying securities. Managerial Finance, 39 (5), 427-443.

DeFusco, R., Ivanov, S., and Karels, G. (2011). The exchange traded funds’ pricing deviation: Analysis and forecasts. Journal of Economics and Finance, 35 (2), 181-197.

Delcoure, N., and Zhong, M. (2007). On the premiums of iShares. Journal of Empirical Finance, 14 (2), 168-195.

DeLong, B., Shleifer, A., Summers, L., and Waldmann, R. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98 (4), 703-738.

Deville, L. (2008). Exchange traded funds: History, trading and research. In C. Zopounidis, M. Doupos, and P. Pardalos (Eds.), Handbook of Financial Engineering (pp. 1-37). New York: Springer.

Elia, M. (2012). Tracking Error in Traditional and Synthetic European Exchange Traded Funds. Turin: University of Turin.

Engle, R. F., and Sakar, D. (2006). Premiums-discounts and exchange traded funds. Journal of Derivatives, 13 (4), 27-45.

Fama, E. F. (1965). Random Walks in Stock Market Prices. Financial Analysts Journal, 21 (5), 55-59.

Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25 (2), 383-417.

Fama, E. F. (1998). Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics, 49, 283-306.

Fama, E. F., and French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33 (1), 3-56.

Fulkerson, J., and Jordan, B. (2013). Reading tomorrow’s newspaper: Predictability in ETF Returns. Journal of Index Investing, 4 (1), 23-31.

Gasbarro, D., Johnson, R., and Zumwalt, J. (2003). Evidence on the mean-reverting tendencies of closed-end fund discounts. Financial Review, 38 (2), 273-291.

Gastineau, G. (2001). An introduction to exchange traded funds (ETFs). Journal of Portfolio Management and Economics, 27 (3), 88-96.

Goodfellow, C., Schiereck, D., and Wippler, S. (2001). Are behavioral finance equity funds a superior investment? A Note on Fund Performance and Market Efficiency. Journal of Asset Management, 14 (2), 111-119.

Hasbrouck, J. (1995). One security, many markets: Determining the contributions to price discovery. Journal of Finance, 50 (4), 1175-1199.

Ippolito, R. (1989). Efficiency with costly information: A study of mutual fund performance 1965-1984. Quarterly Journal of Economics, 104 (1), 1-23.

Kahneman, D., and Riepe, M. (1998). Aspects of investor psychology. Journal of Portfolio Management, 24 (2), 52-65.

Kahneman, D., and Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47 (2), 263-292.

Kreis, Y., and Licht, J. W. (2016). Trading on ETF Mispricings. Gutenberg University Mainz.

Kyle, A. (1985). Continuous auctions and insider trading. Econometrica, 53 (6), 1315-1335.

Lakonishok, J., Shleifer, A., and Vishny, R. (1992). The structure and performance of the money management industry. Brookings Papers on Economic Activity: Microeconomics, 339-391.

Lee, C. M., Shleifer, A., and Thaler, R. H. (1991). Investor sentiment and the closed-end fund puzzle. Journal of Finance, 46 (1), 76-110.

Madura, J. and Richie, N. (2004). Overreaction of exchange traded funds during the bubble of 1998-2002. Journal of Behavioral Finance, 5 (2), 91-104.

Madura, J., and Ngo, T. (2008). Short interest in exchange-traded funds. Financial Market Portfolio Management, 22 (4), 381-402.

NASDAQ (2016). What are ETFs? Downloaded on 30 May 2016, from NASDAQ, http://www.nasdaq. com/etfs/what-are-ETFs.aspx.

Osterhoff, F., and Overkott, M. (2016). ETF Flows and Underlying Stock Returns: The True Cost of NAV-based Trading. TU Munich.

Petajisto, A. (2013). Inefficiencies in the pricing of exchange-traded funds. New York: New York University.

Picard, A., and Braun, G. (2010). Exchange Traded Funds (ETF). Zurich: Finanz und Wirtschaft Verlag.

Rau, R. (2010). Market inefficiency. In H. Kent and J. Nofsinger (Eds.), Behavioral Finance: Investors, Corporations and Markets (pp. 330-350). Hoboken: Wiley.

Rodriguez, J. (2014). Latin American iShares: Prices and Premiums. Applied Finance Letters, 3 (2), 24-29.

Sampaio, Y., and Melo, P. (2013). Empirical evidence: Arbitrage with exchange-traded funds (ETFs) on the Brazilian Market. Revista Contabilidade & Finanças, 24 (61), 64-74.

Shefrin, H. (2002). Beyond greed and fear: Understanding behavioral finance and the psychology of investing. New York: Oxford University Press.

Shiller, R. (1981). Do stock prices move too much to be justified by subsequent changes in dividends? American Economics Review, 71 (3), 421-436.
Shleifer, A. (2000). Inefficient markets: An introduction to behavioral finance. New York: Oxford University Press.

Shleifer, A., and Summers, L. (1990). The noise trader approach to finance. Journal of Economic Perspectives, 4 (2), 19-33.

Shleifer, A., and Vishny, R. W. (1997). The limits of arbitrage. Journal of Finance, 52 (1), 35-55.

Szyska, A. (2010). Belief- and Preference Based Models. In H. Kent, and J. Nofsinger (Eds.), Behavioral finance: Investors, Corporations and Markets (pp. 351-372). Hoboken: Wiley.

Tse, Y., and Martinez, V. (2007). Price discovery and informational efficiency of international iShares funds. Global Finance Journal, 18 (1), 1-15.

World Federation of Exchanges (2016). WFE H1 2016 Market Highlights. Downloaded on 30 May 2016, from http://www.world-exchanges.org/home/index.php/research/wfe-research.

Zopounidis, C., Doumpos, M., and Pardalos, P. (2008). Handbook of Financial Engineering, New York: Springer.
Cómo citar
Kreis, Y., Licht, J. W., & Useche Arévalo, A. J. (2017). (In)Eficiencias en los Fondos Cotizados en Bolsa –ETFs– latinoamericanos. Cuadernos De Administración, 29(53), 7–48. https://doi.org/10.11144/cao29-53.elae
Sección
Artículos