publication . Article . 2013

Factors related to the liquidations of ETFs during 2008

Herminio Romero-Pérez;
Open Access English
  • Published: 01 Oct 2013 Journal: Fórum Empresarial (issn: 1541-8561, eissn: 2475-8752, Copyright policy)
  • Publisher: Universidad de Puerto Rico
Abstract
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.
Subjects
free text keywords: Fondos cotizados (ETF’s, por sus siglas en inglés), ETF’s, liquidación de fondos, cierre de fondos, Business, HF5001-6182
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