Factores relacionados a las liquidaciones de ETFs durante 2008

Herminio Romero-Pérez

doi:10.33801/fe.v18i2.3771

Abstract

El propósito de este estudio es identificar los factores relacionados al cierre de 50 fondos cotizados (ETF’s, por sus siglas en inglés) en el 2008. El estudio comparó una muestra de fondos cotizados liquidados con una muestra pareada de fondos cotizados (ETF) activos. Los factores utilizados como variables explicativas fueron las siguientes: capitalización del mercado, liquidez, rendimiento de los fondos cotizados (ETF’s return), índice de rendimiento, error de seguimiento, fund age y primas. Los valores de liquidez más bajos, errores de rendimiento más altos y rendimiento de fondos cotizados más altos se asociaron con probabilidades más altas de liquidez. El investigador encontró que los indicadores de fondos cotizados de mercado se estaban beneficiando de la creación de nuevas acciones de fondos cotizados justo antes de la liquidación las acciones de los fondos cotizados en una prima.

Highlights

HERMINIO ROMERO-PÉREZAn Exchange-Traded Fund (ETF) is a relatively new investment product that has gained popularity among practitioners and academics
Market capitalization is measured in millions of dollars; Liquidity is the ratio of trading volume to shares outstanding; ETF Return is the end of month return; Index Return is the end of month return of the underlying index; Tracking Error is the absolute value of the difference between ETF Return and Index Return; and Premium represent the percentage that the ETF price is over the ETF net asset value (NAV). ***,**, and * identify statistical significance differences between means of closed ETFs and the Matched Sample of ETFs at less than the 1%, 5%, and 10%, respectively
The comparison of the liquidated ETFs and the matched samples of active ETFs revealed that closed ETFs were older in comparison to the active ETFs

Summary

Introduction

An Exchange-Traded Fund (ETF) is a relatively new investment product that has gained popularity among practitioners and academics. Similar to other investment companies or funds – like Open-End Funds (commonly known as Mutual Funds), ClosedEnd Funds (CEFs), or Hedge Funds – ETFs pool investors’ assets and buy securities according to a predetermined investment objective. Like CEFs, each ETF share issued by the fund can be traded like any other stock at market determined prices and gives the investor a proportioned participation in a portfolio of stocks, bonds or other securities. In the case of CEFs, once the initial public offering of CEF shares is finalized, investors cannot create or delete more CEF shares. In the case of ETF, anytime during the ETF’s life cycle, some investors – denominated authorized participants – have the possibility to create or delete ETF shares

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Conclusion