We study the persistence of bond ETF premiums and discounts. Following a day of high or low premiums or discounts over NAV, ETFs tend to maintain a premium or discount for up to 30 days. Premiums and discounts also predict distinct patterns of returns after daily closing. Overnight returns are...

We make use of a unique dataset of SEC Form N-SAR filings to examine the gross flows of U.S. bond funds. We find that gross inflows and outflows average around 4% of TNA per month, but net flows average only 0.26%. When modeling these flows, we see that, like equity funds, bond fund investors...

We examine how active share—the extent to which a portfolio's holdings differ from its benchmark's holdings—affects the performance, risk management, and flows of bond mutual funds. Measuring active share at both the issue and issuer level, the average bond fund has an issue-level...

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 cash flows. We find evidence of return chasing in...

Bond ETFs trading at a premium (discount) to NAV experience more creations (redemptions) than those trading at parity. When these transactions occur, subsequent returns partially offset the premium or discount. These results suggest that arbitrage trading between the underlying bonds and the...