Since 2014
Does the Lending Rate Impact ETF's Prices?
Brazilian Review of Econometrics
View Archive Info| Field | Value | |
| Title |
Does the Lending Rate Impact ETF's Prices?
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| Creator |
de Genaro, Alan; BM&FBovespa
Avellaneda, Marco; Courant Institute - NYU |
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| Subject |
Hard-to-Borrow; Leverage ETF; Simulated Maximum Likelihood; Jumps
G12; G23; C15 |
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| Description |
In this paper we developed an econometric model to empirically test the hard-to-borrow model of Avellaneda and Lipkin (2009) where asset prices jump as result of ``buy-in" procedures. The model is estimated using an extent version of simulated maximum likelihood (SML) for a selected group of Leveraged ETF, mainly short LETFs, because these instruments have been sporadically hard-to-borrow and are liquids. In general we do not find enough statistical evidence supporting that hard-to-borrow effect impacts LETFs prices. On the other hand, we did find statistical evidence supporting the jump-diffusion model for some Leveraged ETFs.
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| Publisher |
Sociedade Brasileira de Econometria
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| Contributor |
—
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| Date |
2019-01-04
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/31732
10.12660/bre.v38n22018.31732 |
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| Source |
Brazilian Review of Econometrics; Vol 38, No 2 (2018); 287-319
Brazilian Review of Econometrics; Vol 38, No 2 (2018); 287-319 1980-2447 |
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| Language |
eng
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/31732/74745
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