ABSTRACT

Financial theories suggest that the entry of a new security into an exchange-traded fund (ETF) could impact the price of the other constituents of that ETF. We test these various theories using data from Emerging Market corporate bonds between 2012 and 2017. We find that the inclusion of a new bond into the ETF lowers the relative price of constituent bonds that were ex-ante similar to the entrant. Additionally, we find that part of this effect tends to be transitory. These facts also hold with most alternative measures of bond similarity and proxies for returns. Moreover, the effect is stronger for less liquid bonds and when the short-run ability to absorb this entry shock is more limited. Overall, our findings suggest that part of the effect is consistent with price-pressure models.

摘要

金融理论表明，新证券进入交易所交易基金 (ETF) 可能会影响该ETF其他成分的价格。我们使用 2012 年至 2017 年间新兴市场公司债券的数据测试了这些不同的理论。我们发现，将新债券纳入 ETF 降低了与进入者类似的事前成分债券的相对价格。此外，我们发现这种影响的一部分往往是暂时的。这些事实也适用于大多数债券相似性和回报代理的替代措施。此外，对于流动性较低的债券以及当短期吸收这种入场冲击的能力更加有限时，效果会更强。总体而言，我们的研究结果表明，部分影响与价格压力模型一致。