PT  - JOURNAL ARTICLE
AU  - Gerasimos G Rompotis
TI  - Premiums and Returns of iShares
DP  - 2009 Sep 21
TA  - ETFs and Indexing
PG  - 135--143
VI  - 2009
IP  - 1
4099  - http://guides.pm-research.com/content/2009/1/135.short
4100  - http://guides.pm-research.com/content/2009/1/135.full
AB  - This article estimates the premium in ETFs’ trading prices and assesses the impact of the premium on returns. Results indicate that ETFs trade, on average, at a slight daily premium to their net asset value amounting to 0.015%. However, this premium is not persistent, which means that the premium on one day basically disappears the next day. Seasonal analysis on premium indicates that the average premium of iShares during December is higher relative to other months. Finally, it is revealed that the return is positively affected by the contemporaneous premium and negatively by the lagged premium, reflecting violence to the efficient-markets hypothesis.