2018
Authors
Fontes Filho, JR; Alves, CF;
Publication
Cadernos EBAPE.BR
Abstract
2020
Authors
Alves, CF; Reis, DA;
Publication
Applied Economics Letters
Abstract
An exchange-traded fund (ETF) is a marketable security that tracks a stock index, a commodity, bonds, or a basket of assets. Therefore, returns of ETFs that track a benchmark index portfolio should mimic the returns of their benchmark indexes. If a benchmark index’s performance exhibits a seasonal pattern, then the performance of its associated ETF should replicate that pattern. This type of ETF performance seasonality is induced by trends in the market of securities in the benchmark index portfolio. Any other seasonality can be considered to be idiosyncratic. Based on a sample of 148 ETFs listed in NYSE Arca, this article provides evidence of a half-year effect (higher performance in the first half-year), a quarter effect (outperformance of the second quarter and underperformance of the fourth quarter), and month within the quarter effect (higher and lower performance in the first and third months of each quarter, respectively). Additionally, superior and inferior performance were observed in April and December, respectively. These seasonal patterns are not visible on benchmark indexes, with the exception of the unusually positive performance in April, which can be considered induced seasonality. The other effects, which cannot be attributed to underlying markets, are evidence of idiosyncratic seasonality. © 2019, © 2019 Informa UK Limited, trading as Taylor & Francis Group.
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