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.

中文翻译：

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公司债券ETF的意外后果：来自锥度大发脾气的证据

本文研究了ETF是否是公司债券脆弱性的独特来源。相对于共同基金，ETF迎合高流动性需求的投资者，促进积极的反馈策略，并通过接近比例的交易将资金流出转移至公司债券。比较来自同一发行人的债券的收益率利差变化，我们发现ETF在市场动荡时期的锥发大发期间产生了由流量引起的压力。用于维持最大和最具流动性的ETF的相对价格效率的赎回导致在恢复之前的4个月内收益率差值明显提高。该模式表明ETF放大了负面基本冲击的影响。