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Do Exchange Traded Funds (ETFs) Outperform the Market? Evidence from the Portuguese Stock Index

Author

Listed:
  • Carlos Manuel Pinheiro

    (Caixa Geral de Depósitos S.A.; Lisbon Accounting and Business School (LABS-ISCAL); Instituto Universitário de Lisboa (ISCTE-IUL) Business Research Unit (BRU-IUL), Lisboa, Portugal; Universidade Europeia, Laureate International Universities, Portugal)

  • Hugo Hilário Varela

    (Caixa Económica Montepio Geral, Portuguese Bank)

Abstract

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.

Suggested Citation

  • Carlos Manuel Pinheiro & Hugo Hilário Varela, 2018. "Do Exchange Traded Funds (ETFs) Outperform the Market? Evidence from the Portuguese Stock Index," GEE Papers 0109, Gabinete de Estratégia e Estudos, Ministério da Economia, revised Sep 2018.
    • Handle: RePEc:mde:wpaper:0109
    as

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    File URL: https://www.gee.gov.pt//RePEc/WorkingPapers/GEE_PAPERS_109.pdf
    File Function: First version, 2018
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    References listed on IDEAS

    as
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    Cited by:

    1. L. Alamelu & Nisha Goyal, 2023. "Investment Performance and Tracking Efficiency of Indian Equity Exchange Traded Funds," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 165-188, March.

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    More about this item

    Keywords

    Exchange-Traded Funds; Performance; Abnormal returns; Capital Asset Pricing model (CAPM);
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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