ETF ownership and firm-specific information in corporate bond returns

被引：5

作者：

Rhodes, Meredith E. ^{[1
]}

Mason, Joseph R. ^{[2
,3
]}

机构：

[1] Univ North Texas, G Brint Ryan Coll Business, Dept Finance Insurance Real Estate & Law, 1155 Union Circle 305339, Denton, TX 76203 USA

[2] Louisiana State Univ, EJ Ourso Coll Business, Dept Finance, 2900 Business Educ Complex, Baton Rouge, LA 70803 USA

[3] Univ Penn, Wharton Sch Business, Philadelphia, PA USA

来源：

JOURNAL OF FINANCIAL MARKETS | 2023年 / 63卷

关键词：

Financial intermediation; Fixed-income securities; Bonds; Exchange-traded funds; Information; EXCHANGE-TRADED FUNDS; TRADING COSTS; LIQUIDITY; MARKET; EARNINGS; TRANSPARENCY; AUCTION; IMPACT; RISK;

D O I：

10.1016/j.finmar.2022.100772

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We analyze the relation between ETF ownership and firm-specific information in corporate bond returns. ETF ownership appears to weaken bond price informativeness by altering the flow of firm-specific information to bonds. Bonds with low (high) ETF ownership are sensitive (insensitive) to the same information as equity. Using earnings announcements, we show that bonds with low ETF ownership react to earnings news, but bonds with high levels do not. Moreover, we find a positive association between investment-grade bond return comovement with the market and ETF ownership, implying that return variation is less attributable to firm-level information as ETF ownership increases.

引用

页数：17

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