DOES PRICING DEVIATION OF EXCHANGE-TRADED FUNDS PREDICT ETF RETURNS?
Journal Title: Asian Economic and Financial Review - Year 2017, Vol 7, Issue 8
Abstract
This paper investigates whether the pricing deviation of inactive exchange-traded funds (ETFs) differs from that of active ETFs and can predict future ETF returns better and longer. The results show that, compared to active ETFs, inactive ETFs trade at a substantial, more volatile, mostly negative and more skewed-to-the-right pricing deviation. Inactive ETFs? pricing deviation relates significantly and negatively to longer-day future ETF returns, indicating that the deviation may predict ETF returns better and longer. However, if an inactive ETF has corresponding futures for its underlying index, its pricing deviation may shrink and pricing efficiency may increase.
Authors and Affiliations
Jung-Chu Lin| Associate Professor, Department of Banking and Finance, Takming University of Science and Technology, Taipei, Taiwan
Keywords
Related Articles
- EP ID EP2406
- DOI -
- Views 739
- Downloads 81
Islamic Financial in the Global Financial System
This paper investigates the question of whether the phenomenon of Islamic finance who based on Shariah, or Islamic law is truly globalizing and spreading as a universal system of finance and banking. The paper also addre...
SUGGEST SOLUTIONS FOR DIFFUSION AND IMPLEMENTATION OF ACTIVITY-BASED COSTING IN VIETNAM
Activity-Based Costing (ABC) was developed by Robert S. Kaplan in the mid-1980s and up to now the academics, researchers as well as accounting practitioners have perceived it as the normative appropriate cost system. It...
CAN EMERGING MARKET PROTECTIONISM BE BENEFICIAL?
This paper employs a sequential trade competition model to analyze differential trade effects on an emerging market. We find that free trade is not able to alter the ex post dominance of the foreign incumbents and, conve...
FINANCE-GROWTH NEXUS IN AFRICA: A PANEL GENERALIZED METHOD OF MOMENTS (GMM) ANALYSIS
The paper uses the dynamic GMM Model to examine the finance-growth nexus with panel data (1981-2010) from 24 African countries. Evidence suggests that there is a positive relationship between finance and economic growth...
RENMINBI AS NUMBER TWO IN EAST ASIA
This paper investigates the emerging influence of the Chinese renminbi on the exchange rate movements of East Asian currencies. China stopped pegging her currency to the US dollar and moved into a managed floating exchan...