Publicado Feb 20, 2017



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Yvonne Kreis

Johannes W. Licht

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

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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.fondos cotizados en bolsa, ineficiencia, coeficiente precio/valor liquidativo, creación y redención, inversiones.fundos de índice, ineficiência, coeficiente preçovalor liquidativo, criação e retenção, investimento.

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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
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