Does the Lending Rate Impact ETF's Prices? | Zendy

Alan De Genaro | Zendy; Marco Avellaneda | Zendy

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Does the Lending Rate Impact ETF's Prices?

Author(s) -

Alan De Genaro,

Marco Avellaneda

Publication year - 2019

Publication title -

brazilian review of econometrics

Language(s) - English

Resource type - Journals

eISSN - 2526-3722

pISSN - 1980-2447

DOI - 10.12660/bre.v38n22018.31732

Subject(s) - jump , econometrics , jump diffusion , asset (computer security) , economics , statistical evidence , econometric model , capital asset pricing model , statistical model , statistical hypothesis testing , financial economics , computer science , statistics , null hypothesis , mathematics , physics , computer security , quantum mechanics

In this paper we developed an econometric model to empirically test thehard-to-borrow model of Avellaneda and Lipkin (2009) where asset prices jumpas result of ``buy-in" procedures. The model is estimated using an extentversion of simulated maximum likelihood (SML) for a selected group ofLeveraged ETF, mainly short LETFs, because these instruments have beensporadically hard-to-borrow and are liquids. In general we do not findenough statistical evidence supporting that hard-to-borrow effect impactsLETFs prices. On the other hand, we did find statistical evidence supportingthe jump-diffusion model for some Leveraged ETFs.

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