Doctoral Dissertation Research in Economics: ETFs and Arbitrage under Liquidity Mismatch
经济学博士论文研究:流动性错配下的ETF与套利
基本信息
- 批准号:1628986
- 负责人:
- 金额:$ 2.11万
- 依托单位:
- 依托单位国家:美国
- 项目类别:Standard Grant
- 财政年份:2016
- 资助国家:美国
- 起止时间:2016-07-15 至 2017-06-30
- 项目状态:已结题
- 来源:
- 关键词:
项目摘要
This award funds doctoral dissertation research that will be conducted by coPI Kevin Pan. He wants to understand how the market for corporate bonds is affected by the existence of corporate bond exchange traded funds (ETFs). These funds maintain liquidity by establishing authorized participants (APs) who are the only market participants allowed to transact with the ETF issuer to create and redeem shares of the ETF. The coPI will examine how AP trading behavior affects underlying bond returns, liquidity, and price volatility. The goal is to understand whether ETF arbitrage might fail under certain circumstances. ETF shares are owned by individual investors in the U.S.; understanding conditions under which the market could fail is important, since a market failure could have significant effects on many Americans' retirement savings. The results will be useful for regulators, who have been concerned about ETF liquidity during financial stress. They will also be useful to the many individual investors who hold ETF shares; the lack of scientific research on ETFs means that individual investors have few resources for disinterested information on the benefits and risks of ETF investments.The project generally seeks to understand how financial institutions, specifically authorized participants, can affect financial markets and asset prices. The coPI will construct a detailed panel set of (1) ETF prices, holdings, and arbitrage ability, (2) AP lists by ETF, and (3) corporate bond trades and characteristics. The plan to is to examine several research questions. First, how are excess volatility and co-movement of underlying corporate bond returns affected by the intermediation friction of broker-dealers in this market? Second, how have changing market trends and conditions affected the market and trade of corporate bonds and corporate bond ETFs? Third, how do APs use the creation/redemption process to relax their inventory or financial constraints? What are the resulting implications for their trading behavior in corporate bonds and ETFs, and how is this behavior different than what is observed for financial intermediaries who are not APs? Fourth, how and under what circumstances might ETF arbitrage fail? What are the implications of failure and what role do APs play in this failure? The coPI's theory suggests a new channel of transmission via APs' inventory constraints and ETFs' liquidity mismatch. The coPI will also use the data to test various theories about arbitrage in this market.
该奖项资助将由Copi Kevin Pan.进行的博士论文研究。他想了解公司债券交易所交易基金(ETF)的存在如何影响公司债券市场。这些基金通过设立授权参与者(AP)来维持流动性,授权参与者是唯一获准与ETF发行人进行交易以创建和赎回ETF股票的市场参与者。COPI将研究AP交易行为如何影响基础债券回报、流动性和价格波动性。目的是了解ETF套利在某些情况下是否会失败。ETF股票在美国由个人投资者持有;了解市场可能失灵的条件很重要,因为市场失灵可能会对许多美国人的退休储蓄产生重大影响。这一结果将对监管机构有用,因为监管机构一直担心ETF在金融压力期间的流动性。它们也将对许多持有ETF股票的个人投资者有用;对ETF缺乏科学研究意味着,个人投资者几乎没有资源来获得有关ETF投资的收益和风险的公正信息。该项目通常寻求了解金融机构,特别是授权参与者,如何影响金融市场和资产价格。COPI将构建一套详细的小组,包括(1)ETF价格、持有量和套利能力,(2)ETF的AP列表,以及(3)公司债券交易和特征。该计划是为了研究几个研究问题。首先,在这个市场上,经纪-交易商的中介摩擦如何影响标的公司债券收益的过度波动性和协动性?第二,不断变化的市场趋势和状况如何影响了公司债券和公司债券ETF的市场和交易?第三,AP如何使用创建/赎回流程来放松其库存或财务限制?对他们在公司债券和ETF中的交易行为产生了什么影响,这种行为与观察到的不是AP的金融中介有什么不同?第四,ETF套利如何以及在什么情况下可能失败?故障的含义是什么?AP在此故障中扮演什么角色?Copi的理论提出了一种新的传导渠道,通过AP的库存约束和ETF的流动性错配。COPI还将使用这些数据来测试关于这个市场上套利的各种理论。
项目成果
期刊论文数量(0)
专著数量(0)
科研奖励数量(0)
会议论文数量(0)
专利数量(0)
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John Campbell其他文献
Cannabis: the evidence.
大麻:证据。
- DOI:
10.7748/ns1999.07.13.44.45.c2647 - 发表时间:
1999 - 期刊:
- 影响因子:0
- 作者:
John Campbell - 通讯作者:
John Campbell
How Coopetitive Rewards Are Different in Determining Information Sharing Behaviors?
合作奖励在决定信息共享行为方面有何不同?
- DOI:
- 发表时间:
2012 - 期刊:
- 影响因子:0
- 作者:
S. Ghobadi;John Campbell - 通讯作者:
John Campbell
Application of graph theoretic analysis to interindustry relationships: The example of Washington state
- DOI:
10.1016/0166-0462(75)90015-0 - 发表时间:
1975-02 - 期刊:
- 影响因子:3.1
- 作者:
John Campbell - 通讯作者:
John Campbell
自主シンポジウム11:ハンセン病問題と人権回復
自愿研讨会11:麻风病问题与人权恢复
- DOI:
- 发表时间:
2013 - 期刊:
- 影响因子:0
- 作者:
John Campbell;Unni Edvardsen;Paul Midford;Yayoi Saito;Noriko Kuruba;Koichi Hiraoka;Helga Katharina Haug;Kjell Arne Aarheim;南山浩二;南山浩二;南山浩二;南山浩二;南山浩二;南山浩二;南山浩二;南山浩二;南山浩二;南山浩二;南山浩二;南山 浩二;南山 浩二;南山 浩二;南山浩二;清水新二編;清水新二・南山浩二・生島浩・高梨薫・加茂陽;清水新二編著;平田勝政;平田勝政;平田勝政;平田勝政;平田勝政;平田勝政;Yoneyuki Sugita;平田勝政;杉田 米行;平田勝政;平田勝政;Yoneyuki Sugita;大阪府社会福祉協議会;平田勝政;Yoneyuki Sugita;平田勝政;Yoneyuki Sugita;平田勝政;平田勝政;Yoneyuki Sugita;平田勝政 - 通讯作者:
平田勝政
リカバリー志向の家族支援の含意-「家族」へのまなざしの変遷をふまえながら-
以康复为导向的家庭支持的意义 - 基于“家庭”观念的变化 -
- DOI:
- 发表时间:
2013 - 期刊:
- 影响因子:0
- 作者:
John Campbell;Unni Edvardsen;Paul Midford;Yayoi Saito;Noriko Kuruba;Koichi Hiraoka;Helga Katharina Haug;Kjell Arne Aarheim;南山浩二;南山浩二;南山浩二;南山浩二;南山浩二;南山浩二;南山浩二 - 通讯作者:
南山浩二
John Campbell的其他文献
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{{ truncateString('John Campbell', 18)}}的其他基金
I-Corps: Range-based car swapping networks
I-Corps:基于范围的汽车交换网络
- 批准号:
1931667 - 财政年份:2019
- 资助金额:
$ 2.11万 - 项目类别:
Standard Grant
Coastal SEES: Coastal fog-mediated interactions between climate change, upwelling, and coast redwood resilience: Projecting vulnerabilities and the human response
沿海 SEES:沿海雾介导的气候变化、上升流和海岸红杉复原力之间的相互作用:预测脆弱性和人类反应
- 批准号:
1853039 - 财政年份:2018
- 资助金额:
$ 2.11万 - 项目类别:
Standard Grant
Coastal SEES: Coastal fog-mediated interactions between climate change, upwelling, and coast redwood resilience: Projecting vulnerabilities and the human response
沿海 SEES:沿海雾介导的气候变化、上升流和海岸红杉复原力之间的相互作用:预测脆弱性和人类反应
- 批准号:
1600109 - 财政年份:2016
- 资助金额:
$ 2.11万 - 项目类别:
Standard Grant
CAREER: Land Use Analysis for Sustainable Bioenergy Production on Marginal Lands
职业:边际土地上可持续生物能源生产的土地利用分析
- 批准号:
0955141 - 财政年份:2010
- 资助金额:
$ 2.11万 - 项目类别:
Continuing Grant
Knowledge Regimes and Comparative Political Economy
知识制度和比较政治经济学
- 批准号:
0813633 - 财政年份:2008
- 资助金额:
$ 2.11万 - 项目类别:
Standard Grant
The Math and Science, Technology, Engineering Reinforcement (MASTER) Scholar Program
数学与科学、技术、工程强化(硕士)学者计划
- 批准号:
0806554 - 财政年份:2008
- 资助金额:
$ 2.11万 - 项目类别:
Standard Grant
The Herpetofauna and Associated Parasites of Mexico--A Megadiverse Country: Phase II
墨西哥的爬行动物和相关寄生虫——一个生物多样性丰富的国家:第二阶段
- 批准号:
0613802 - 财政年份:2006
- 资助金额:
$ 2.11万 - 项目类别:
Continuing Grant
Antarctica - Images From the Frozen Continent
南极洲 - 来自冰冻大陆的图像
- 批准号:
0440702 - 财政年份:2005
- 资助金额:
$ 2.11万 - 项目类别:
Standard Grant
SBIR Phase I: High-Performance Oxygen Electroreduction Catalysts for Fuel Cells
SBIR 第一阶段:燃料电池用高性能氧电还原催化剂
- 批准号:
0232131 - 财政年份:2003
- 资助金额:
$ 2.11万 - 项目类别:
Standard Grant
SBIR PHASE I: Functional Nanostructures Through Spontaneous Emulsification and Self-Assembly
SBIR 第一阶段:通过自发乳化和自组装的功能纳米结构
- 批准号:
0127918 - 财政年份:2002
- 资助金额:
$ 2.11万 - 项目类别:
Standard Grant
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