| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w30039 |
| 来源ID | Working Paper 30039 |
| Steering a Ship in Illiquid Waters: Active Management of Passive Funds | |
| Naz Koont; Yiming Ma; Lubos Pastor; Yao Zeng | |
| 发表日期 | 2022-05-16 |
| 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 ; Portfolio Selection and Asset Pricing ; Financial Institutions ; COVID-19 |
| URL | https://www.nber.org/papers/w30039 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/587713 |
| 推荐引用方式 GB/T 7714 | Naz Koont,Yiming Ma,Lubos Pastor,et al. Steering a Ship in Illiquid Waters: Active Management of Passive Funds. 2022. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w30039.pdf（676KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
