Este artículo investiga la predictibilidad de los precios a corto plazo de los ETF de renta fija de EE. UU. en respuesta a choques extremos de precios. A través de una evaluación de 582 movimientos de precios extremos de los ETF en el período 2007-2014, comparamos los retornos durante el período normal (desde la apertura hasta el final de la sesión) y los retornos fuera de ese horario para un grupo de 87 ETFs. Encontramos un fuerte contraste entre lo que ocurre en estos dos períodos: en promedio, solo los retornos extremos que ocurren fuera del horario normal representan una reacción exagerada, lo que lleva a una reversión significativa en el siguiente período. Nuestros resultados sugieren que los mercados tienden a ser significativamente más ineficientes durante las horas extras. Estos resultados tienen implicaciones importantes tanto para los reguladores como para los profesionales del mercado.

This paper investigates the short-term price predictability of US equity Exchange Trade Funds (ETFs) in reaction to one-day extreme returns. We also assess the cross-section features associated to price overreaction following extreme price movements. The literature on the short-term overreaction of ETFs is rather scarce. Furthermore, existing studies tend to focus on delimited historical periods, which makes their results difficult to generalize. Our paper fills this gap by considering a comprehensive sample of ETFs over an extended period of time. In addition, we are the first to study the effect of the prevailing market trend and of liquidity on the patterns of overreaction and subsequent price reversal of ETFs. Being the major ETFs the most actively traded equity securities on the US stock exchanges, their performance and characteristics are of interest by themselves. Our findings suggest that market regulators should concentrate their resources on overseeing the ETF pricing that occurs after-hours. For market practitioners, our results indicate the existence of profitable market opportunities after large price movements. In the present study, we tested the significance of the mean returns for the period immediately after extreme returns. We also conducted a multivariate analysis where the price reversal was regressed against the cross section features of the ETFs under study. We contribute to the literature on ETF price formation as we document, for the first time, the existence of a stark contrast in the reaction to extreme price movements in these assets during normal hours and afterhours periods. On average, the extreme returns that occur in the after-hours period represent an overreaction, leading to a price reversal in the following period. In addition, we show that both tax-motivated trading and noise trading play a role in the pattern of ETF overreaction and reversal.

Introduction: Following the outbreak of the disease caused by the novel coronavirus it was necessary to increase the non-face-to-face care activity through alternative means such as teleconsultation in primary health care. The adjustment to a type of remote consultation could have generated anxiety among family physicians. The main aim of the present study was to develop and validate a scale to assess the anxiety of family physicians during teleconsultation. Material and Methods: Observational, cross-sectional study involving a sample of family physicians working in Portugal. An online survey that evaluated anxiety in teleconsultation was developed.Results: A total of 359 valid responses were included in an exploratory factor analysis, after determining the number of factors to retain. A four-factor structure was detected with loadings ranging overall, from 0.44 to 0.98. Correlations between factors ranged from 0.42 to 0.58. Exploratory factor analysis results varied between good and very good fit, with chi-square/df result = 2.448, root mean square error of approximation (RMSEA) = 0.062 [90% CI = (0.053, 0.073)], root mean square of the residuals (RMSR) = 0.030 and Tucker Lewis index (TLI) = 0.931. Composite reliability was higher than 0.7 for all factors and average variance extracted was close or above 0.5 for the extracted factors, confirming convergent validity. McDonald’s omega (ω) = 0.95 suggested the presence of a second-order factor, and thus a global measure for assessing anxiety during teleconsultation. Concurrent validity results were good, with correlations ranging from r = -0.277 to r = -0.393 with General Self-Efficacy scale (GSE) and r = 0.302 to r = 0.547 with Depression Anxiety Stress scales (DASS). Moderate correlations found between DASS and the dimensions of AnsT-19 suggest that AnsT-19 is capturing anxiety from the teleconsultation point of view. AnsT-19 factors and total score were significantly associated with gender, experience as a family doctor, psychotropic medication during the pandemic period and pre-pandemic experience of teleconsultation, indicating good construct validity. The limitations of the study are related to the convenience process, the use of an online survey and self-reported measurements.Conclusion: AnsT-19 is a valid instrument to assess the anxiety of family physicians during teleconsultation.