Portfolio Trading and Corporate Bond ETFs
研究发现公司债券市场中的投资组合交易与债券ETF紧密相关，ETF帮助做市商更有效地定价和对冲投资组合风险，并提供额外的风险吸收渠道。
ABSTRACT We document a strong connection between portfolio trading—a recent innovation in the corporate bond market—and corporate bond ETFs. Portfolio trading refers to the execution of a basket of bonds as a single unit of risk with a single market‐maker. Using a database of portfolio trades that we construct from TRACE, our trade‐level and portfolio‐level analyses identify two channels through which the use of bond ETFs allows market‐makers to price these trades more efficiently than comparable trades in individual securities. First, ETFs give market‐makers an effective tool for pricing and hedging portfolio risk. Second, ETFs provide an additional outlet for absorbing the risk that accumulates through portfolio trading.