IDEAS home Printed from https://ideas.repec.org/a/gmf/journl/y2019i48p737.html
   My bibliography  Save this article

Exchange-traded funds as an alternative investment option

Author

Listed:
  • António Afonso

    (ISEG Universidade de Lisboa, REM, UECE)

  • Pedro Cardoso

    (ISEG, Universidade de Lisboa)

Abstract

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 indus-try. For the period 2010-2017, we test ETFs for price inefficiency (existence of deviations between prices and the Net Asset Value) and persistence. We find that the studied ETF does 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 examined 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.

Suggested Citation

  • António Afonso & Pedro Cardoso, 2019. "Exchange-traded funds as an alternative investment option," Notas Económicas, Faculty of Economics, University of Coimbra, issue 48, pages 7-37, Julho.
    • Handle: RePEc:gmf:journl:y:2019:i:48:p:7:37
    DOI: 10.14195/2183-203X_48_1
    as

    Download full text from publisher

    File URL: https://impactum-journals.uc.pt/notaseconomicas/article/view/2183-203X_48_1/5339
    Download Restriction: no
    File URL: https://libkey.io/10.14195/2183-203X_48_1?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    Exchange-traded fund; mutual fund; performance evaluation; tracking error; price efficiency.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gmf:journl:y:2019:i:48:p:7:37. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sofia Antunes (email available below). General contact details of provider: https://edirc.repec.org/data/fecucpt.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.