MARC details
| 000 -LEADER |
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| fixed length control field |
01437nab a2200217 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
170120b xxu||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Malhotra, Nidhi |
| 245 ## - TITLE STATEMENT |
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| Title |
Are Premium Indicative of Future Returns?: Evidence From Exchange Traded Funds In India |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Place of publication, distribution, etc |
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| Name of publisher, distributor, etc |
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| Date of publication, distribution, etc |
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| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
1-12 p. |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc |
The paper investigates whether Exchange Traded Funds (ETFs) trade away from their Net Asset Value (NAV), the relationship between traded volume, intraday volatility and whether the pricing deviation impacts future returns. It is observed that closing price deviates from NAV and resulting pricing inefficiency persists for three days on an average. Further, significant positive relationship is observed between return and contemporaneous premium and significant negative relationship with lagged premium, indicating a violation of efficient market hypothesis. Also, significant positive relationship is observed between volume and intraday volatility of ETFs and not index and insignificant negative relationship with lagged absolute premium. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Exchange traded funds |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Net asset value |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Pricing efficiency |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Premium |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Intraday volatility |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Purohit, Harsh |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Tandon, Deepak |
| 773 0# - HOST ITEM ENTRY |
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| Host Biblionumber |
39768 |
| Place, publisher, and date of publication |
New Delhi Foundation for Organisational Research & Education |
| Other item identifier |
S85639 |
| Title |
Abhigyan, 34 (3) Oct-Dec 2016 |
| International Standard Serial Number |
0970-2385 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Item type |
Articles |
