ETF Flows and Underlying Stock Returns: The True Cost of NAV-Based Trading

Osterhoff, Friedrich; Overkott, Maximilian

doi:10.2139/ssrn.2736392

Cited by 2 publications

(2 citation statements)

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“…In this context, Antoniewicz and Heinrichs (2014) explain the creation and redemption process in detail and explicitly state that the costs of creating and redeeming ETF shares are based on the NAV value (and not the current ETF price). Osterhoff and Overkott (2016) focus on the impact of ETF share creation and redemption on the underlying stocks' return and the efficiency of the closing auction. The authors focus on the authorized partners (AP) incentives for manipulating closing prices.…”

Section: Introductionmentioning

confidence: 99%

(In)Efficiencies in Latin American ETFs

2017

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Este estudio evalúa empíricamente la eficiencia en la valoración de varios ETFs latinoamericanos, expresada en desviaciones de sus precios de mercado frente a los valores liquidativos subyacentes. Se cuantifican tales ineficiencias y se implementa una estrategia de negociación verificada por regresiones basadas en el CAPM y el Modelo Fama-French. Los resultados discrepan con la Hipótesis de los Mercados Eficientes y son mejor explicados por aspectos de las finanzas comportamentales. Finalmente, se examina cómo las desviaciones influyen sobre la decisión de creación o redención de ETFs, mediante un análisis de regresión logística. Los resultados evidencian que los participantes autorizados reaccionan ante las ineficiencias realizando transacciones en el mercado primario.

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Section: Introductionmentioning

confidence: 99%

(In)Efficiencies in Latin American ETFs

2017

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“…498 A possible channel for arbitrageurs to exploit price discrepancies between XTFs and their underlying securities could be the closing auction in the creation/redemption process of XTFs (see e.g. Osterhoff/Overkott (2016)). 499 The authors state that ETF arbitrage may transfer non-fundamental volatility to the underlying security basket.…”

Section: Discussionmentioning

confidence: 99%

The influence of XTFs on risk and return of households’ investment portfolios

Wanger¹

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In this doctoral thesis, XTFs are considered as plain-vanilla Exchange Traded Funds which pursue a passive investment approach and replicate a broad, internationally diversified market index. The thesis pursues two research goals. First, to investigate whether XTFs enhance risk and return of household portfolios when taking multiple relevant asset classes into account – not only stocks. Second, to examine whether employing XTFs in household portfolios is reasonable when including practical constraints and risk measures that reflect households’ actual investment situation and interpretation of risk more closely compared to previous literature. To meet these research goals, three empirical analyses are conducted. The analyses are built on the foundations of neoclassical finance theory, new institutional economics, market microstructure theory, financial intermediation, as well as behavioral finance and economics. For the empirical investigations, two data sets of the German central bank (Deutsche Bundesbank) are combined: The Panel on Household Finances-survey and the Securities Holdings Statistics-base. The thesis ends by discussing the empirical analyses' results, possible limitations to the findings' generalizability, and implications for different stakeholders.

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ETF Flows and Underlying Stock Returns: The True Cost of NAV-Based Trading

Cited by 2 publications

References 6 publications

(In)Efficiencies in Latin American ETFs

(In)Efficiencies in Latin American ETFs

The influence of XTFs on risk and return of households’ investment portfolios

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