Abstract
Este estudio evalúa empíricamente la eficiencia en la valoración de varios ETFs latinoamericanos, expresada en desviaciones de sus precios de mercado frente a los valores liquidativos subyacentes. Se cuantifican tales ineficiencias y se implementa una estrategia de negociación verificada por regresiones basadas en el CAPM y el Modelo Fama-French. Los resultados discrepan con la Hipótesis de los Mercados Eficientes y son mejor explicados por aspectos de las finanzas comportamentales. Finalmente, se examina cómo las desviaciones influyen sobre la decisión de creación o redención de ETFs, mediante un análisis de regresión logística. Los resultados evidencian que los participantes autorizados reaccionan ante las ineficiencias realizando transacciones en el mercado primario.
Highlights
Investment in exchange-traded funds (ETFs) have strongly increased over the past decade (Blackrock, 2015)
We focus on Latin American ETFs and provide a detailed description of their level ofefficiency and share creation / redemption
We focus on how the price/ net asset values (NAVs) ratio influences the decisions of ETF share creation and redemption
Summary
Investment in exchange-traded funds (ETFs) have strongly increased over the past decade (Blackrock, 2015). Rodríguez (2014) analyzes a sample of iShares from Brazil, Mexico, and Peru He finds that prices and NAV show a close relationship, Latin American ETFs are more likely to trade at a premium than at a discount. These deviations from net asset value (NAV) tend to persist for more than a day. We provide a detailed analysis of discrepancies between ETF prices and the NAVs of their underlying portfolios This documents the level of (in)efficiencies in the respective markets and thereby adds to our understanding of market development and depth. The findings, conclusion, and suggestions for future research are presented
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