The Unintended Consequences of Corporate Bond ETFs: Evidence from the Taper Tantrum

• 成果类型: Article
• 署名作者: Dannhauser, Caitlin D.; Hoseinzade, Saeid
• 署名单位: Villanova University; Suffolk University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab031
• 发表日期: 2022
• 页码: 51
• 关键词: EXCHANGE-TRADED FUNDS; ASSET FIRE SALES; illiquidity; prices; MARKET; purchases; investors; CRISIS; IMPACT; FLOWS

摘要

This paper examines whether ETFs are a unique source of corporate bond fragility. Relative to mutual funds, ETFs cater to high-liquidity-demand investors, facilitate positive feedback strategies, and transmit outflows to corporate bonds via near-proportional trading. Comparing yield spread changes of bonds from the same issuer, we show that ETFs create flow-induced pressure during the Taper Tantrum, a period of market turmoil. Redemptions used to maintain the relative price efficiency of the largest and most liquid ETFs lead to significantly higher yield spreads for 4 months before reverting. The pattern indicates ETFs amplify the effects of negative fundamental shocks.