Do Exchange Traded Funds (ETFs) Outperform the Market? Evidence from the Portuguese Stock Index
Autor(es): Carlos Manuel Pinheiro e Hugo Hilário Varela
Data: 24 Setembro, 2018
Ano: 2018
We investigate the performance of exchange-traded funds (ETFs) that track the Portuguese stock index PSI20 since 2012. ETFs have contributed to the competitiveness of the Portuguese financial market. To test our hypothesis of whether ETFs generate significant abnormal returns as compared to the market, we use daily closing prices from December 2012 to June 2017. Using the risk-return model and analyzing Jensen’s alpha we do not find evidence that ETFs tracking the PSI20 outperform the market, unlike other ETFs tracking major European and U.S. stock indices. Our results should interest investors and the financial industry.