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 681
- Downloads 81
DECISION USEFULNESS APPROACH TO FINANCIAL REPORTING: A CASE FOR MALAYSIAN INLAND REVENUE BOARD
This paper aims at determining whether or not financial reporting of companies in Malaysia provides useful information to Inland Revenue Board for income tax determination. The respondents in this study were staff of the...
FINANCE-GROWTH NEXUS IN BANGLADESH? AN EMPIRICAL ANALYSIS
We examine the empirical relationship between financial and economic growth in Bangladesh over the period of 1985-2014. Augmented Dickey Fuller (ADF) test is performed for checking the stationarity properties and it is r...
INVESTIGATING FRAUDS IN GOVERMENT ACCOUNTING
The main purpose of creative accounting practices is to show financial indicators and tables of businesses different from and generally better than the originals. Although such deceptive practices are mostly performed by...
FACTORS INFLUENCING THE BANK PROFITABILITY – EMPIRICAL EVIDENCE FROM ALBANIA
Commercial banks have a crucial role for the allocation of economic resource in countries. Their main contribution is in the economic growth of the country through making available the funds for investors to borrow as we...
THE IMPACT OF TRADE LIBERALIZATION ON DEMAND AND PRICE VOLATILITY IN PAKISTAN: CO INTEGRATION APPROACH FOR COMPENSATION HYPOTHESIS
The important modification of the compensation hypothesis rests on the principle; increased trade openness increase the domestic economic volatility. The economic theory recommend increase of international trade require...