Investigation the Effective Factors on Discount Rate of Exchange Traded Funds (ETFs) in Tehran Stock Exchange

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Choghadi, Hamid Reza | 2016

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 49348 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Bahramgiri, Mohsen
Abstract:
Financial markets have been formed to attract and utilize the community’s funds,. In these markets different securities are supplied to meet the needs of a huge variety of investors. they should know the performance and characteristics of these securities, Otherxise they lost in the market. But most investors aren’t familiar with these securities and for this reason almost withdraw from the market. Funds was made up to solve this problem and facilitate the process of entering these investors in financial markets. In funds, professional managers manage portfolio with the capital provided by investors. Exchange Traded Funds (ETFs) are one type of these funds. The stock of ETFs issued in the market for the first time and then exchanges between investors. So the market set the price of them. Almost the price is different from Net Asset Value (NAV) of ETFs. In this resreach, we tried to find logical input variables to explain the difference between price and NAV of ETFs in Tehran Stock Exchange. Results showed that 3 variable 1- NAV return 2- expense ratio 3- industry concentration can explain about %45 of the discoun rate changes
Keywords:
Discount ; Tehran Stock Exchange ; Exchange Traded Fund (ETF) ; Net Asset Value (NAV) ; Discount Rate ; Premium Rate