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Deviations between ETF Prices & their Net Asset Value

Date created
2019-12
Authors/Contributors
Abstract
This paper studies the deviations between the price of Exchanged-Traded-Funds (ETFs) and their net asset values (NAVs) of their respective securities by calculating the premium/discounts of approximately 2,300 industry ETFs from the period of January 1st, 2019 and October 1st, 2019. Results show that prices of the ETFS included in this research can deviate significantly from their net asset values (NAVs), and seems to be more widespread for those that are international and contain illiquid securities. These findings are in line with the results of those found in the “Inefficiencies in the Pricing of Exchange-Traded Funds” CFA Research report done authored by Antti Petajisto (2017).
Document
Description
MSc in Finance Project-Simon Fraser University
Copyright statement
Copyright is held by the author(s).
Scholarly level
Peer reviewed?
No
Language
English

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