Exchange-traded funds as an alternative investment option : a case study
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/15999 |
Resumo: | We conduct an analysis of Exchange-traded Funds (ETFs), Index and Equity mutual funds and their respective benchmark during the 2010-2015 period for the Portuguese fund industry. For the period 2010-2017we test ETFs for price inefficiency (existence of deviations between prices and the Net Asset Value) and persistence. We find that ETF do not always outperform index funds in replicating the variations of the PSI 20 index, despite exhibiting better tracking ability when facing downside deviations of the benchmark and a better capacity of smoothing tracking deviations. Regarding ETFs price efficiency and its persistence, the study reveals that the analyzed ETF is priced at a low average discount with evidence of deviations persistence of at least two days. The investment schemes with the highest ability to track the PSI 20 Index were PSI20 (ETF), BBVA PPA Índice PSI20, and the equity mutual fund BPI Portugal. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Exchange-traded funds as an alternative investment option : a case studyExchange-traded fundMutual fundPerformance evaluationTracking errorPrice efficiencyWe conduct an analysis of Exchange-traded Funds (ETFs), Index and Equity mutual funds and their respective benchmark during the 2010-2015 period for the Portuguese fund industry. For the period 2010-2017we test ETFs for price inefficiency (existence of deviations between prices and the Net Asset Value) and persistence. We find that ETF do not always outperform index funds in replicating the variations of the PSI 20 index, despite exhibiting better tracking ability when facing downside deviations of the benchmark and a better capacity of smoothing tracking deviations. Regarding ETFs price efficiency and its persistence, the study reveals that the analyzed ETF is priced at a low average discount with evidence of deviations persistence of at least two days. The investment schemes with the highest ability to track the PSI 20 Index were PSI20 (ETF), BBVA PPA Índice PSI20, and the equity mutual fund BPI Portugal.ISEG - REM - Research in Economics and MathematicsRepositório da Universidade de LisboaAfonso, AntónioCardoso, Pedro2018-09-28T13:40:34Z2017-122017-12-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/15999engAfonso, António e Pedro Cardoso (2017). "Exchange-traded funds as an alternative investment option : a case study". Instituto Superior de Economia e Gestão – REM Working paper nº 022 - 20172184-108Xinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:45:52Zoai:www.repository.utl.pt:10400.5/15999Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:01:30.753739Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Exchange-traded funds as an alternative investment option : a case study |
title |
Exchange-traded funds as an alternative investment option : a case study |
spellingShingle |
Exchange-traded funds as an alternative investment option : a case study Afonso, António Exchange-traded fund Mutual fund Performance evaluation Tracking error Price efficiency |
title_short |
Exchange-traded funds as an alternative investment option : a case study |
title_full |
Exchange-traded funds as an alternative investment option : a case study |
title_fullStr |
Exchange-traded funds as an alternative investment option : a case study |
title_full_unstemmed |
Exchange-traded funds as an alternative investment option : a case study |
title_sort |
Exchange-traded funds as an alternative investment option : a case study |
author |
Afonso, António |
author_facet |
Afonso, António Cardoso, Pedro |
author_role |
author |
author2 |
Cardoso, Pedro |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Afonso, António Cardoso, Pedro |
dc.subject.por.fl_str_mv |
Exchange-traded fund Mutual fund Performance evaluation Tracking error Price efficiency |
topic |
Exchange-traded fund Mutual fund Performance evaluation Tracking error Price efficiency |
description |
We conduct an analysis of Exchange-traded Funds (ETFs), Index and Equity mutual funds and their respective benchmark during the 2010-2015 period for the Portuguese fund industry. For the period 2010-2017we test ETFs for price inefficiency (existence of deviations between prices and the Net Asset Value) and persistence. We find that ETF do not always outperform index funds in replicating the variations of the PSI 20 index, despite exhibiting better tracking ability when facing downside deviations of the benchmark and a better capacity of smoothing tracking deviations. Regarding ETFs price efficiency and its persistence, the study reveals that the analyzed ETF is priced at a low average discount with evidence of deviations persistence of at least two days. The investment schemes with the highest ability to track the PSI 20 Index were PSI20 (ETF), BBVA PPA Índice PSI20, and the equity mutual fund BPI Portugal. |
publishDate |
2017 |
dc.date.none.fl_str_mv |
2017-12 2017-12-01T00:00:00Z 2018-09-28T13:40:34Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/15999 |
url |
http://hdl.handle.net/10400.5/15999 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Afonso, António e Pedro Cardoso (2017). "Exchange-traded funds as an alternative investment option : a case study". Instituto Superior de Economia e Gestão – REM Working paper nº 022 - 2017 2184-108X |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
ISEG - REM - Research in Economics and Mathematics |
publisher.none.fl_str_mv |
ISEG - REM - Research in Economics and Mathematics |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799131104032063488 |