Work detail

Analysis of Exchange-Traded Funds Pricing Deviations and Tracking Errors: Evidence from U.S. Market

Author: Bc. Martin Panáček
Year: 2022 - winter
Leaders: Mgr. Petr Polák MSc. Ph.D.
Consultants:
Work type: Bachelors
Language: English
Pages: 52
Awards and prizes:
Link: https://dspace.cuni.cz/handle/20.500.11956/171260
Abstract: In this thesis, we present an analysis of pricing deviations and tracking errors
of ETFs with regard to their focus. We deploy several panel data models
estimated on a sample of 12 U.S. iShares ETFs divideded into three categories:
broad market ETFs, dividend ETFs and sector specific ETFs and examine if the
pricing deviations and tracking errors differs between the groups. We suggest,
that dividend and sector specific ETFs tend to have bigger pricing deviations
and tracking errors, however, we attribute it mainly to the higher expense ratios
associated with them, rather than because of their focus

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