Hilliard, Jitka - In: Global Finance Journal 25 (2014) 2, pp. 90-107
We study premiums/discounts associated with ETFs using the Ornstein–Uhlenbeck process augmented with jumps. Our results confirm the high efficiency of the ETFs' arbitrage pricing mechanism. The median long-term mean premium of U.S. equity ETFs is zero. International equity ETFs and bond ETFs...