Inefficiencies in the Pricing of Exchange-Traded Funds
研究了交易所交易基金（ETF）价格与其净资产价值（NAV）之间的偏差，发现即使存在套利机制，偏差仍可达约100个基点，且在国际或流动性差的资产中更大，利用这些偏差的主动交易策略在扣除交易成本前能产生显著超额收益。
The prices of exchange-traded funds (ETFs) can deviate significantly from their net asset values (NAVs), in spite of the arbitrage mechanism that allows authorized participants to create and redeem shares for the underlying portfolios. The deviations, typically within a band of about 200 bps, are larger in funds holding international or illiquid securities. To control for stale pricing of the underlying assets, I introduce a novel approach that uses the cross section of prices on a group of similar ETFs. The average pricing band remains economically significant at about 100 bps, with even larger mispricings in some asset classes. Active trading strategies exploiting such inefficiencies produce substantial abnormal returns before transaction costs, providing further proof of short-term mean reversion in ETF prices.