The Unintended Consequences of Corporate Bond ETFs: Evidence from the Taper Tantrum
研究公司债券ETF是否加剧了市场脆弱性，发现ETF在缩减恐慌期间通过赎回压力推高了债券利差，且影响持续4个月。
Abstract This paper examines whether ETFs are a unique source of corporate bond fragility. Relative to mutual funds, ETFs cater to high-liquidity-demand investors, facilitate positive feedback strategies, and transmit outflows to corporate bonds via near-proportional trading. Comparing yield spread changes of bonds from the same issuer, we show that ETFs create flow-induced pressure during the Taper Tantrum, a period of market turmoil. Redemptions used to maintain the relative price efficiency of the largest and most liquid ETFs lead to significantly higher yield spreads for 4 months before reverting. The pattern indicates ETFs amplify the effects of negative fundamental shocks.