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

• 批准号: 1628986
• 负责人: John Campbell
• 金额: $ 2.11万
• 依托单位: Harvard University
• 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: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1628986&HistoricalAwards=false
• 关键词: Doctoral; Dissertation; Research; Economics; ETFs

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.

该奖项资助了Copi Kevin Pan将进行的博士学位论文研究。他想了解公司债券的市场如何受到公司债券交易所交易基金（ETF）的影响。这些资金通过建立授权参与者（AP）来维持流动性，这些参与者是唯一允许与ETF发行人进行交易以创建和赎回ETF份额的市场参与者。 COPI将研究AP交易行为如何影响基本债券收益，流动性和价格波动。目的是了解在某些情况下ETF套利是否可能失败。 ETF股票归美国个人投资者所有；了解市场可能失败的条件很重要，因为市场失败可能会对许多美国人的退休节省产生重大影响。结果对于在财务压力期间一直关注ETF流动性的监管机构将很有用。 它们也对持有ETF股份的许多个人投资者也很有用；缺乏对ETF的科学研究意味着，个人投资者几乎没有资源来了解ETF投资的收益和风险的无私信息。该项目通常试图了解金融机构（特定授权参与者）如何影响金融市场和资产价格。 COPI将构建（1）ETF价格，持有和套利能力的详细面板集，（2）AP按ETF列表，以及（3）公司债券交易和特征。计划是研究几个研究问题。首先，如何在该市场中受经纪交易商的中间摩擦影响的基本公司债券回报的过度波动和共同发展？第二，不断变化的市场趋势和条件如何影响公司债券和公司债券ETF的市场和贸易？第三，AP如何使用创建/赎回过程来放松其库存或财务限制？对他们在公司债券和ETF中的交易行为的造成影响是什么？这种行为与非APS的金融中介机构观察到的行为有何不同？第四，在什么情况下，ETF套利可能会失败？失败的含义是什么？AP在此失败中起什么作用？ COPI的理论提出了通过APS的库存约束和ETF的流动性不匹配的新传输渠道。 COPI还将使用数据来测试有关该市场套利的各种理论。