新冠肺炎疫情和债券ETF估值折扣

Journal of Fixed Income Pub Date : 2022-11-29 DOI:10.3905/jfi.2022.1.148

Hongfei Tang, Kangzhen Xie, X. Xu

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引用次数: 1

摘要

新冠肺炎疫情对债券型交易所交易基金(etf)产生了初步的、巨大的负面影响，引发了对金融稳定的担忧。我们以大量美国债券ETF为样本，对疫情对ETF估值折扣的影响进行了全面研究。我们发现COVID-19死亡人数的变化与政府债券etf和公司债券etf的估值折扣显著相关，其中投资级公司债券etf表现出更大的敏感性。在美联储(fed)宣布有意购买公司债券和债券etf后，这些估值折扣大幅逆转。政府抗击疫情的经济政策也与公司债券etf的估值折扣负相关。这些发现证明，在市场情绪极度紧张和定价严重失调之际，广泛的流动性支持对恢复债券ETF市场的金融稳定是有效的。

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COVID-19 Pandemic and Bond ETF Valuation Discount

The COVID-19 pandemic has had an initial and outsized negative impact on bond exchange-traded funds (ETFs), causing concerns for financial stability. Using a large panel of US bond ETFs, we conduct a comprehensive examination of the impact of the pandemic on ETF valuation discounts. We find the change in COVID-19 deaths to be significantly related to the valuation discounts of government bond ETFs and corporate bond ETFs, with investment-grade corporate bond ETFs showing greater sensitivity. These valuation discounts reversed dramatically after the Federal Reserve announced its intentions to purchase corporate bonds and bond ETFs. Government economic policies to combat the pandemic are also negatively related to the valuation discounts of corporate bond ETFs. These findings are evidence of the efficacy of broad-based liquidity support on restoring financial stability in the bond ETF market at a time of enormously stressed market sentiment and massive pricing dislocations.

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来源期刊

Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.