Do Fixed-Income ETFs Overreact? Evidence of Short-term Predictability following Extreme Price Shocks

被引：3

作者：

Lobao, Julio ^{[1
]}

Costa, Ana Isabel ^{[1
]}

机构：

[1] Univ Porto, Fac Econ Porto, Porto, Portugal

来源：

CUADERNOS DE ECONOMIA-SPAIN | 2020年 / 43卷 / 122期

关键词：

Fixed-income exchange traded funds; Overreaction; Short-term return reversal; Price predictability; INDIVIDUAL INVESTORS; STOCK; DISCOVERY; DECLINES; RETURNS; COST;

D O I：

10.32826/cude.v42i122.145

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper investigates the short-term price predictability of US fixed-income ETFs in reaction to one-day extreme returns. Based on an assessment of 582 extreme price movements of ETFs in the 2007-2014 period, we compare the normal hours returns ('open-to-close') and after-hours returns ('close-to-open') for a group of 87 ETFs. We find a stark contrast between what occurs in these two periods: on average only extreme returns that occur after-hours represent an overreaction, leading to a significant reversal in the following period. Our results suggest that markets during after-hours tend to be significantly more inefficient. These results carry important implications for both regulators and market practitioners.

引用

页码：131 / 144

页数：14