Pricing Efficiency of Exchange Traded Funds in India

Exchange traded funds (ETFs) have two prices, the market price and the net asset value (NAV) price. ETFs NAV price gets determined by the net value of the constituent assets, whereas the market price of ETFs depends upon the number of units bought or sold on the stock exchange during trading hours. As per the law of one price, the NAV and market price of the ETF should be the same. However, due to demand and supply forces, the market price may divert from its NAV. This price difference may have significant repercussions to investors, as it represents a cost if they buy overvalued ETF shares or sell undervalued ETF shares. Pricing efficiency is the speed at which the market makers correct the deviations between ETFs NAV and market price. The present study attempts to investigate the pricing efficiency of Indian equity ETFs employing an autoregression model over its price deviation, and also attempts to understand the lead-lag relationship between the price and NAV using the vector error correction model (VECM)

Duality in Superstring Compactifications with Magnetic Field Backgrounds

Motivated by the work of Polchinski and Strominger on type IIA theory, where the effect of non-trivial field strengths for p-form potentials on a Calabi-Yau space was discussed, we study four-dimensional heterotic string theory in the presence of magnetic field on a 2-cycle in the internal manifold, for both N=4 and N=2 cases. We show that at special points in the moduli space, certain perturbative charged states become tachyonic and stabilize the vacuum by acquiring vacuum expectation values, thereby restoring supersymmetry. We discuss both the cases where the tachyons appear with a tower of Landau levels, which become light in the limit of large volume of the 2-cycle, and the case where such Landau levels are not present. In the latter case it is sufficient to restrict the analysis to the quartic potential for the tachyon. On the other hand, in the former case it is necessary to include the Landau levels in the analysis of the potential; for toroidal and orbifold examples, we give an explicit CFT description of the new supersymmetric vacuum. The resulting new vacuum turns out to be in the same class as the original supersymmetric one. Finally, using duality, we discuss the role of the Landau levels on the type IIA side.Comment: 26 pages, LaTeX, 1 figure; Nucl. Phys. B version with typos corrected and references adde

Quantum Corrections in Two-Dimensional Non-Supersymmetric Heterotic Strings

We study quantum corrections for a family of 24 non-supersymmetric heterotic strings in two dimensions. We compute their genus two cosmological constant using the hyperelliptic formalism and the genus one two-point functions for the massless states. From here we get the mass corrections to the states in the massless sector and discuss the role of the infrared divergences that appear in the computation. We also study some tree-level aspects of these theories and find that they are classified not only by the corresponding Niemeier lattice but also by their {\it hidden} right-moving gauge symmetry.Comment: Minor changes. The discussion on the infrared divergences has been expanded and typos have been corrected. Final version to be published in Nucl. Phys. B. 40 pages. LaTeX, epsf. 4 Postscript figures in uuencoded fil