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- W2993678651 abstract "Various financial theories predict that the entry of a new security into an exchange-traded-fund (ETF) could impact the price of the other constituents of that ETF. We test these theories using data from Emerging Market Corporate Bonds between 2012 and 2017. We find that the entry of a new bond into an ETF in fact lowers the price of similar constituent bonds. Additionally, we also find that a relevant part of this effect is transitory, being reversed after a few months. This central fact is robust to alternative measures of bond similarity and to different proxies for returns. Additionally, the effect is also stronger for less liquid bonds and when the short run ability to absorb this entry shock is more limited. Taken together, our findings support liquidity models of price-pressure." @default.
- W2993678651 created "2019-12-13" @default.
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- W2993678651 date "2019-01-01" @default.
- W2993678651 modified "2023-09-25" @default.
- W2993678651 title "Are there pricing spillovers within an ETF? Evidence from Emerging Market Corporate Bonds" @default.
- W2993678651 doi "https://doi.org/10.2139/ssrn.3489564" @default.
- W2993678651 hasPublicationYear "2019" @default.
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