Ferreira, MiguelRibeiro, Vera Carneiro2014-03-192017-03-192014-01http://hdl.handle.net/10362/11721A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsETFs 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.engETFPricingInefficiencyArbitrageSizeRiskReplicationmaster thesis201476541