(In)Eficiências nos Fundos de Índice (ETFs) latinoamericanos
Publicado
Feb 20, 2017
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Yvonne Kreis
Johannes W. Licht
Alejandro José Useche Arévalo
http://orcid.org/0000-0002-4462-6721
http://orcid.org/0000-0002-4462-6721
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Resumo
Este estudo avalia empiricamente a eficiência na valoração de vários
ETFs (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.
ETFs (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.
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.
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.
Como Citar
Kreis, Y., Licht, J. W., & Useche Arévalo, A. J. (2017). (In)Eficiências nos Fundos de Índice (ETFs) latinoamericanos. Cuadernos De Administración, 29(53), 7–48. https://doi.org/10.11144/cao29-53.elae
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