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Abstract(s)
Este trabalho de investigação visa analisar o desempenho dos Exchange-Traded Funds que replicam os principais índices bolsistas Europeus e Americanos. Testamos a capacidade dos ETFs de bater o mercado através da análise do parâmetro de alfa de Jensen e averiguamos o impacto da liquidez no retorno dos ETFs, aplicando o modelo de vários fatores de Fama e French. No geral os ETFs que replicam os principais índices bolsistas Americanos exibem um desempenho superior aos ETFs Europeus. Contudo a maioria dos ETFs analisados não conseguem bater o mercado. As diferenças no retorno parecem estar ligadas às disparidades nos níveis de liquidez existentes nos 2 mercados. Os resultados empíricos demonstram que o subgrupo de ETFs que replicam índices bolsitas Europeus exibem maior sensibilidade às oscilações nos níveis de liquidez do que o subgrupo dos ETFs Americanos. Os resultados obtidos são consistentes com modelos convencionais de análise de risco-retorno e também revelam o poder explicativo das variáveis de liquidez no retorno dos ETFs, que até então não foi investigado, bem como os fatores de dimensão e valor desenvolvidos em Fama e French (1993).
This research paper investigates the performance of Exchange-Traded Funds (ETFs) linked to major U.S. and European stock indexes. We test their abilities to generate an abnormal return, and we employ a modify Fama-French three-factor model to examine the role played by ETFs’ specific characteristics such as liquidity in determining ETFs returns. In terms of overall performance, we found that ETFs that replicate the main stock indexes in the U.S. outperforms the European ones. However, the majority of ETFs analyzed were unable to beat the market. Differences in the expected return rate might be explained by the disparities in the liquidity levels between the two markets. The results show that the subsample of European ETFs is more sensitive to changes in liquidity than the U.S. subsample. The results are consistent with conventional risk-return models, and it reveals the high predictability power of liquidity variables in determining ETFs returns, which so far was left uninvestigated by the literature.
This research paper investigates the performance of Exchange-Traded Funds (ETFs) linked to major U.S. and European stock indexes. We test their abilities to generate an abnormal return, and we employ a modify Fama-French three-factor model to examine the role played by ETFs’ specific characteristics such as liquidity in determining ETFs returns. In terms of overall performance, we found that ETFs that replicate the main stock indexes in the U.S. outperforms the European ones. However, the majority of ETFs analyzed were unable to beat the market. Differences in the expected return rate might be explained by the disparities in the liquidity levels between the two markets. The results show that the subsample of European ETFs is more sensitive to changes in liquidity than the U.S. subsample. The results are consistent with conventional risk-return models, and it reveals the high predictability power of liquidity variables in determining ETFs returns, which so far was left uninvestigated by the literature.
Description
Mestrado em Análise Financeira
Keywords
Exchange-Traded Funds performance Abnormal Return Fama-French Liquidity Capital Assets Pricing Models (CAPM) Reward-To-Volatility ratio