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

Carlos Manuel Pinheiro () and Hugo Hilário Varela ()
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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

No 109, GEE Papers from Gabinete de Estratégia e Estudos, Ministério da Economia

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.

Keywords: Exchange-Traded Funds; Performance; Abnormal returns; Capital Asset Pricing model (CAPM) (search for similar items in EconPapers)
JEL-codes: G11 G23 G12 (search for similar items in EconPapers)
Date: 2018-09, Revised 2018-09
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http://www.gee.gov.pt//RePEc/WorkingPapers/GEE_PAPERS_109.pdf First version, 2018 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:mde:wpaper:0109

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