The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs)

• 成果类型: Article
• 署名作者: Dannhauser, Caitlin D.
• 署名单位: Villanova University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.06.002
• 发表日期: 2017
• 页码: 537-560
• 关键词: EXCHANGE-TRADED FUNDS; Corporate bonds; liquidity; Liquidity traders

摘要

Using distinct features of corporate bond exchange-traded funds (ETFs), I find that financial innovation has a significant and long-term positive valuation impact on the systemically important underlying securities. A one standard deviation increase in ETF ownership reduces high-yield and investment-grade bond spreads by 20.3 and 9.2 basis points, respectively, implying an average monthly price increase of 1.03% and 0.75%. Two novel quasi-natural experiments exploit exogenous changes in ETF eligibility to confirm the effect. Examining theoretical explanations for the effect, I find that ETFs decrease liquidity trader participation, increase institutional ownership, and insignificantly or negatively impact the liquidity of individual bonds. (c) 2017 Elsevier B.V. All rights reserved.