Does Pricing Deviation of Exchange-Traded Funds Predict ETF Returns?

Asian Economic and Financial Review

关键词: Exchange-traded fund;    Pricing deviation;    ETF return;    ETF pricing efficiency;    Creation-redemption process;    Arbitrage strategy;   

学科分类：社会科学、人文和艺术（综合）

来源: Asian Economic and Social Society

【 摘 要 】

This paper investigates whether the pricing deviation of inactive exchange-traded funds (ETFs) differs from that of active ETFs and can predict future ETF returns better and longer. The results show that, compared to active ETFs, inactive ETFs trade at a substantial, more volatile, mostly negative and more skewed-to-the-right pricing deviation. Inactive ETFs? pricing deviation relates significantly and negatively to longer-day future ETF returns, indicating that the deviation may predict ETF returns better and longer. However, if an inactive ETF has corresponding futures for its underlying index, its pricing deviation may shrink and pricing efficiency may increase.

【 授权许可】

CC BY