O desvio do preço dos exchange-traded funds brasileiros: uma análise baseada na correlação local

• Autor(a) principal: Milani, Bruno
• Data de Publicação: 2015
• Tipo de documento: Tese
• Idioma: por
• Título da fonte: Manancial - Repositório Digital da UFSM
• Texto Completo: http://repositorio.ufsm.br/handle/1/3142
• topic: ETFs; Precificação; Desvio do preço; Correlação local; ETFs; Pricing; Pricing deviation; Local correlation; CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO

The Exchanged Traded Funds (ETFs) have become a widespread investment vehicle, with unique features that have not been sufficiently studied, especially when it comes to emerging markets ETFs. In addition, consolidated pricing models are not enough to analyze the dynamics of a type of fund that adds a new dimension to a traditional investment funds: a change in the price of shares traded on the stock exchange. Thus, ETFs have shares priced by supply and demand, that may present considerable discrepancies in relation to its book value, called Net Asset Value (NAV). The difference between the price of the share and its book value (or their returns) is called pricing deviation by the emerging literature on the theme, although there are discrepancies about its name and concept. Some studies such as Berk and Stanton (2007) point out that the share returns can be partly explained by its own persistence. There are indications also that it would be related to an exaggerated reaction of the market, as verified by Levy and Lieberman (2013) and Milani and Ceretta (2014b). To contribute to the limited literature on the subject, this study aimed to verify how the variables of traditional models of investment fund pricing explain the Brazilian ETFs returns and which are the characteristics of the local correlation of its price deviation with the return market. After estimating the traditional pricing models, it was found that the return of the ETF is explained by the co-variance and co-kurtosis coefficients and the SMB factor. Still, the relationship between the return of their shares and its book value variation was observed, showing that the market return itself affects the price variation. Among the various contributions, it was found that extreme market returns affect the return of the ETF to a greater extent; negative market returns are more influent than positive returns; there is a tendency that investors allocate funds in ETFs already overstated; a specific ETF showed superior performance to others through greater exposure to systematic risk in times of elevation than in the fall, and possibly taking advantage of economy of scale. The results contribute to the formation of the young literature on the Brazilian ETFs, generating new questions that can be leveraged in future research.