Latin American iShares: Prices And Premiums
AbstractETFs have fast become one of the most popular investment instruments not only in developed markets but also in emerging markets. This study examines the prices and premiums of a sample of country-specific Latin American ETFs, a highly popular group of ETFs with investors, but relatively unexplored in academic literature. Regression analysis is used to measure price efficiency and the persistence of deviations from net asset value. I find that although price efficiency is high, other factors, beside fundamental value explain the variation in prices. Most of the ETFs in the sample are more likely to trade at a premium and deviations from net asset value persist at least for a day.
Copyright (c) 2016 Javier Rodríguez
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