| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP17283 |
| DP17283 Steering a Ship in Illiquid Waters: Active Management of Passive Funds | |
| Naz Koont; Luboš Pástor; Yao Zeng | |
| 发表日期 | 2022-05-05 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | Exchange-traded funds (ETFs) are typically viewed as passive index trackers. In contrast, we show that corporate bond ETFs actively manage their portfolios, trading off index tracking against liquidity transformation. In our model, ETFs optimally choose creation and redemption baskets that include cash and only a subset of index assets, especially if those assets are illiquid. Our evidence supports the model's predictions. We find that ETFs dynamically adjust their baskets to correct portfolio imbalances while facilitating ETF arbitrage. Basket inclusion improves bond liquidity, except in periods of large imbalance between ETF creations and redemptions, such as the COVID-19 crisis of 2020. |
| 主题 | Financial Economics |
| 关键词 | Exchange-traded funds Etfs Liquidity transformation Active management |
| URL | https://cepr.org/publications/dp17283 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/546302 |
| 推荐引用方式 GB/T 7714 | Naz Koont,Luboš Pástor,Yao Zeng. DP17283 Steering a Ship in Illiquid Waters: Active Management of Passive Funds. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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