公司债券收益中的ETF所有权和公司特定信息

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-03-01 DOI:10.1016/j.finmar.2022.100772

Meredith E. Rhodes , Joseph R. Mason

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引用次数: 3

摘要

我们分析了ETF持有量与公司债券收益中公司特定信息之间的关系。ETF所有权似乎通过改变公司特定信息流向债券的方式，削弱了债券价格的信息性。低(高)ETF持有量的债券对与股票相同的信息敏感(不敏感)。利用收益公告，我们发现低ETF持有量的债券对收益消息有反应，而高ETF持有量的债券则没有。此外，我们发现投资级债券收益与市场变动和ETF拥有量之间存在正相关关系，这意味着随着ETF拥有量的增加，收益变化对公司层面信息的影响较小。

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ETF ownership and firm-specific information in corporate bond returns

We analyze the relation between ETF ownership and firm-specific information in corporate bond returns. ETF ownership appears to weaken bond price informativeness by altering the flow of firm-specific information to bonds. Bonds with low (high) ETF ownership are sensitive (insensitive) to the same information as equity. Using earnings announcements, we show that bonds with low ETF ownership react to earnings news, but bonds with high levels do not. Moreover, we find a positive association between investment-grade bond return comovement with the market and ETF ownership, implying that return variation is less attributable to firm-level information as ETF ownership increases.

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.