Do Fixed-Income ETFs Overreact?

Evidence of Short-term Predictability following Extreme Price Shocks

  • Júlio Lobão Universidade do Porto
  • Ana Isabel Costa
Palabras clave: fondos cotizados en bolsa de renta fija, reacción exagerada, reversión del retorno a corto plazo, previsibilidad de los precios

Resumen

Este artículo investiga la predictibilidad de los precios a corto plazo de los ETF de renta fija de EE. UU. en respuesta a choques extremos de precios. A través de una evaluación de 582 movimientos de precios extremos de los ETF en el período 2007-2014, comparamos los retornos durante el período normal (desde la apertura hasta el final de la sesión) y los retornos fuera de ese horario para un grupo de 87 ETFs. Encontramos un fuerte contraste entre lo que ocurre en estos dos períodos: en promedio, solo los retornos extremos que ocurren fuera del horario normal representan una reacción exagerada, lo que lleva a una reversión significativa en el siguiente período. Nuestros resultados sugieren que los mercados tienden a ser significativamente más ineficientes durante las horas extras. Estos resultados tienen implicaciones importantes tanto para los reguladores como para los profesionales del mercado.

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Publicado
2019-09-30