Factors related to the liquidations of ETFs during 2008

The purpose of this study is to identify factors related to the closing of 50 ETFs in 2008. The study compared the sample of liquidated ETFs to a matched sample of active ETFs. The factors used as explanatory variables were: market capitalization, liquidity, ETF return, Index return, tracking error,...

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Detalles Bibliográficos
Autor principal: Herminio Romero-Pérez
Formato: Artículo científico
Publicado: Centro de Investigaciones Comerciales e Iniciativas Académicas 2013
Materias:
Administración y Contabilidad
Exchange-traded funds
ETFs
fund liquidation
fund closing
Acceso en línea:http://www.redalyc.org/articulo.oa?id=63131334002
http://biblioteca.clacso.edu.ar/gsdl/cgi-bin/library.cgi?a=d&c=pr/pr-004&d=63131334002oai
Aporte de:
Red de Bibliotecas Virtuales de Ciencias Sociales (CLACSO) de Consejo Latinoamericano de Ciencias Sociales
id I16-R122-63131334002oai
record_format dspace
institution Consejo Latinoamericano de Ciencias Sociales
institution_str I-16
repository_str R-122
collection Red de Bibliotecas Virtuales de Ciencias Sociales (CLACSO)
topic Administración y Contabilidad
Exchange-traded funds
ETFs
fund liquidation
fund closing
spellingShingle Administración y Contabilidad
Exchange-traded funds
ETFs
fund liquidation
fund closing
Herminio Romero-Pérez
Factors related to the liquidations of ETFs during 2008
topic_facet Administración y Contabilidad
Exchange-traded funds
ETFs
fund liquidation
fund closing
description The purpose of this study is to identify factors related to the closing of 50 ETFs in 2008. The study compared the sample of liquidated ETFs to a matched sample of active ETFs. The factors used as explanatory variables were: market capitalization, liquidity, ETF return, Index return, tracking error, fund age, and premium. Lower liquidity values, higher tracking errors, and higher ETF returns were associated with higher probabilities of liquidation. The researcher found evidence that ETFs market makers were profiting from the creation of new ETFs shares just before liquidating the ETFs shares at a premium.
format Artículo científico
Artículo científico
author Herminio Romero-Pérez
author_facet Herminio Romero-Pérez
author_sort Herminio Romero-Pérez
title Factors related to the liquidations of ETFs during 2008
title_short Factors related to the liquidations of ETFs during 2008
title_full Factors related to the liquidations of ETFs during 2008
title_fullStr Factors related to the liquidations of ETFs during 2008
title_full_unstemmed Factors related to the liquidations of ETFs during 2008
title_sort factors related to the liquidations of etfs during 2008
publisher Centro de Investigaciones Comerciales e Iniciativas Académicas
publishDate 2013
url http://www.redalyc.org/articulo.oa?id=63131334002
http://biblioteca.clacso.edu.ar/gsdl/cgi-bin/library.cgi?a=d&c=pr/pr-004&d=63131334002oai
work_keys_str_mv AT herminioromeroperez factorsrelatedtotheliquidationsofetfsduring2008
bdutipo_str Repositorios
_version_ 1764820425628450816

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