Palavras-chave
ineficiência
coeficiente preçovalor liquidativo
criação e retenção
investimento.
Como Citar
Resumo
Este estudo avalia empiricamente a eficiência na valoração de váriosETFs (exchange traded funds) latino-americanos expressa em desvios
de seus preços de mercado em comparação aos valores liquidativos
subjacentes. Quantificam-se essas ineficiências e implementa-se uma
estratégia de negociação verificada por regressões baseadas no CAPM
e no Modelo Fama-French. Os resultados divergem com a hipótese
dos mercados eficientes e são mais bem explicados por aspectos das
finanças comportamentais. Finalmente, examina-se como os desvios
influenciam na decisão de criação ou retenção de ETFs, mediante uma
análise de regressão logística. Os resultados evidenciam que os participantes
autorizados reagem ante as ineficiências realizando transações
no mercado primário.
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