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Growing acceptance of passive bond exchange traded funds (ETFs) and actively managed bond mutual funds has exposed the … analysis of actively managed bond funds and passive bond ETFs in the context of multiple criteria. The research of risk …-adjusted performance of a sampled group of bond funds and ETFs using the TOPSIS multi-criteria decision-making method revealed that …
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We examine the effect of bond Exchange‐Traded Funds (ETFs) on corporate bond liquidity. Using Propensity Score Matching … liquidity needs, contributing to the steady growth of HY bond ETFs. Increased HY ETF institutional ownership channels trading … away from the underlying corporate bonds to the ETF shares and decreases bond aggregate liquidity, although in the cross …
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Since their introduction in 2002, bond ETFs have grown dramatically with over $243 billion in assets by the end of 2012 …. Using data on gross flows from N-SAR filings, we provide the first comprehensive examination of bond ETF characteristics and … shorted funds have both lower inflows and net flows. Finally, we test if bond ETF investors optimally time their purchases and …
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of TQQQ and TMF (the triple leveraged ETF linked to the 20+ year treasury bond), and performing bimonthly rebalancing, a …
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A risk-neutral probability distribution (RND) for future S&P 500 returns extracted from index options contains investors' true expectations and also their risk preferences. But the empirical pricing kernel that emerges in a representative agent framework, which suppresses investor differences,...
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