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Pricing of exchange traded funds
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Resumo(s)
ETFs are a relatively new investment product that allows investors to achieve the diversification of a mutual fund with the trading flexibility of a stock. This and other advantages have been drastically attracting investors over the last years; however, the price of this product is a topic that remains little explored. In this paper I introduce a panel data analysis of premiums/discounts of ETFs with similar characteristics. I find that some of these characteristics are significant explanations to ETF pricing inefficiencies.
Descrição
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
Palavras-chave
ETF Pricing Inefficiency Arbitrage Size Risk Replication