TY - JOUR T1 - Are Exchange-Traded Notes Predictable? An Empirical Investigation of Commodity ETNs JF - The Journal of Investing DO - 10.3905/joi.2021.1.167 SP - joi.2021.1.167 AU - Selma Izadi Y1 - 2021/02/08 UR - https://pm-research.com/content/early/2021/02/08/joi.2021.1.167.abstract N2 - Exchange-traded notes (ETNs) are exchange-traded products similar to exchange-traded funds that track performances of some market indices. ETNs are traded throughout the trading hours on organized exchanges such as the New York Stock Exchange. In this article, the author studies a sample of ETNs that are issued by Barclays Bank PLC and track commodity futures indices. Using daily data spanning over the past 10 years up to 2018, the author investigates the relationship between premiums and returns for a sample of ETNs issued. Within a panel vector autoregression framework, the author tested several hypotheses to uncover the link between premiums and returns. The hypotheses focus on noise trading and return predictability and their impact on the informational efficiency in the ETN markets.TOPICS: Exchange-traded funds and applications, commodities, futures and forward contracts, performance measurementKey Findings▪ There are noise traders in the ETNs market. These uninformed traders surge market volume and liquidity but diminish the ability of the market to respond to new information. ▪ ETNs premiums consistently and significantly predict future premiums. The results recommend that premiums might reflect some unique information about future ETN returns. ▪ The ETNs market is not efficient, and tracking premiums might help investors to predict future ETN returns. ER -