Miss pricing, continuation of arbitrage and returns of Exchange Traded Funds in Iran

Document Type : Original Article

Authors

1 Assistant Professor, Shahid Ashrafi Esfahani University, Isfahan.

2 Assistant Professor, Shahrood University of Technology, Shahrood

3 Masters student in Shahid Ashrafi Esfahani University, Isfahan

Abstract

The purpose of the present study was to investigate the possibility of arbitrage opportunities, to identify the impact of these opportunities on the return on investment units, as well as to examine the durability and shelf-life of these opportunities, hence the exchange traded funds, whose information is in Available as a sample and their data were collected on a daily basis from October 2013 to March 2016. The results of this study indicate the effect of arbitrage opportunities on expected returns. The presence of negative arbitrage on the expected returns, positive effect and positive arbitrage has negatively affects. However, according to the evidence, the exchange traded funds in this study are more likely to be affected by the positive effects of arbitrage, and therefore the possibility of arbitrage in these funds generally leads to a reduction in the expected returns of investment units It will be in the future, indicating a correction in market pricing and the elimination of these opportunities. Therefore, based on the evidence, these opportunities are not lasting and disappearing. Also, in order to complete the research process, the sensitivity of the models to the size of funds and year was also measured.

Keywords

References

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Financial Management Perspective
Volume 8, Issue 23 - Serial Number 23
October 2018
Pages 105-126

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