Open AccessDoes 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.