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Do Stocks Lead Bonds? New Evidence from Corporate Bond ETFs

Jiang, Hao; Li, Sophia Zhengzi; Xiao, Yuanyuan - 2022

This paper studies the dynamic information flows between stock and corporate bond markets. Using accurately measured … returns on corporate bond exchange-traded funds (ETFs), we find that returns on a portfolio of stocks of firms issuing the … bonds in the ETFs positively predict corporate bond ETF returns, but not vice versa. The return predictability is stronger …

Persistent link: https://www.econbiz.de/10013297239

Takeover protections and asset prices

Eisdorfer, Assaf; Morellec, Erwan; Zhdanov, Alexei - In: Management science : journal of the Institute for … 70 (2024) 11, pp. 8116-8133

Persistent link: https://www.econbiz.de/10015145042

Leverage and closed-end bond funds

Boyle, Phelim P.; Szaura, Stephen - In: The journal of fixed income 24 (2015) 4, pp. 47-59

Persistent link: https://www.econbiz.de/10011293460

Cash holdings and bond returns around takeovers

Podolski, Edward J.; Truong, Cameron; Veeraraghavan, Madhu - In: International review of financial analysis 46 (2016), pp. 1-11

Persistent link: https://www.econbiz.de/10011580828

Have leveraged and traditional ETFs impacted the volatility of real estate stock prices?

Curcio, Richard J.; Anderson, Randy I.; Guirguis, Hany; … - In: Applied financial economics 22 (2012) 7/9, pp. 709-722

Persistent link: https://www.econbiz.de/10009624327

The performance of dividend ETFs : the study of the spillover and leverage effects

Chen, Jo-hui; Dang Trung Kien - In: Theoretical economics letters 9 (2019) 3, pp. 499-510

Persistent link: https://www.econbiz.de/10012395468

Liquidity provision to leveraged ETFs and equity options rebalancing flows : evidence from end-of-day stock prices

Barbon, Andrea; Beckmeyer, Heiner; Buraschi, Andrea; … - 2022

Persistent link: https://www.econbiz.de/10013192393

ETF Flows and Underlying Stock Returns : The True Cost of NAV-Based Trading

Osterhoff, Friedrich - 2016

In this paper, we examine whether the creation or redemption ETF shares has a measurable and significant effect on the underlying stocks' returns in the closing auction. Our findings show that ETF flow-related stock transactions significantly affect stock prices. We provide empirical evidence...

Persistent link: https://www.econbiz.de/10012998366

How Index Futures and ETFs Affect Stock Return Correlations

Leippold, Markus - 2016

We examine both theoretically and empirically whether increased trading activity in index futures and exchange traded funds (ETFs) is associated with higher equity return correlations. Our model predicts that demand shocks to ETFs and futures lead to stronger price comovement for index stocks...

Persistent link: https://www.econbiz.de/10013004525

Dynamic Correlation between Share Returns, NAV Variation and Market Proxy of Brazilian ETFs

Milani, Bruno - 2015

Exchanged Traded Funds (ETFs) have become one of the largest investment opportunities today. They present special features that differentiate them from other investment funds, in which the most important are their traded shares. Their share prices are market oriented and are not necessarily...

Persistent link: https://www.econbiz.de/10013029761