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Desempenho dos Exchange-Traded Funds europeus
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Authors
Abstract(s)
No presente estudo, pretendeu-se analisar o desempenho de exchange-traded funds (ETFs) Europeus face aos seus índices de referência. Utilizando, nomeadamente, o modelo do alfa de Jensen (1968) e o modelo de três fatores de Fama e French (1993), conclui-se que os ETFs têm um desempenho inferior aos índices que visam replicar. Concomitantemente, foi analisado o impacto do BREXIT no desempenho dos ETFs e
dos seus índices de referência, comparando os períodos pré-BREXIT e pós-BREXIT mediante testes de diferenças. Para o efeito, foi selecionada uma amostra de 11 ETFs europeus, compreendida entre 2009 e 2022, resultando numa amostra total de 38.764 observações diárias. Os resultados evidenciam diferenças estatísticas significativas no desempenho dos ETFs e dos seus índices de referência antes e após o BREXIT. Os resultados do presente estudo contribuem para aprofundar a investigação sobre os ETFs, especialmente no contexto de choques externos.
The aim of this study was to analyse the performance of European exchange-traded funds (ETFs) in relation to their benchmark indices. Using Jensen's alpha model (1968) and Fama and French's three-factor model (1993), it was concluded that ETFs underperform the indices they aim to replicate. At the same time, the impact of BREXIT on the performance of ETFs and their benchmark indices was analysed, comparing the pre-BREXIT and post-BREXIT periods using difference tests. For this purpose, a sample of 11 European ETFs was selected between 2009 and 2022, resulting in a total sample of 38,764 daily observations. The results show statistically significant differences in the performance of ETFs and their benchmark indices before and after BREXIT. The results of this study contribute to further research into ETFs, especially in the context of external shocks.
The aim of this study was to analyse the performance of European exchange-traded funds (ETFs) in relation to their benchmark indices. Using Jensen's alpha model (1968) and Fama and French's three-factor model (1993), it was concluded that ETFs underperform the indices they aim to replicate. At the same time, the impact of BREXIT on the performance of ETFs and their benchmark indices was analysed, comparing the pre-BREXIT and post-BREXIT periods using difference tests. For this purpose, a sample of 11 European ETFs was selected between 2009 and 2022, resulting in a total sample of 38,764 daily observations. The results show statistically significant differences in the performance of ETFs and their benchmark indices before and after BREXIT. The results of this study contribute to further research into ETFs, especially in the context of external shocks.
Description
Dissertação, Mestrado, Contabilidade e Fiscalidade, Instituto Politécnico de Santarém, Escola Superior de Gestão e Tecnologia, 2024
Keywords
Exchange-Traded Funds Tracking Error Desempenho BREXIT
Citation
Gonçalves, P. (2024). Desempenho dos Exchange-Traded Funds europeus (Mestrado). Escola Superior de Gestão e Tecnologia, Santarém. Disponível na WWW em: <http://hdl.handle.net/10400.15/5003>