Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JFI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Fixed Income
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Fixed Income

The Journal of Fixed Income

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JFI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

Bond ETF Arbitrage Strategies and Daily Cash Flow

Jon A. Fulkerson, Susan D. Jordan and Denver H. Travis
The Journal of Fixed Income Summer 2017, 27 (1) 49-65; DOI: https://doi.org/10.3905/jfi.2017.27.1.049
Jon A. Fulkerson
is an assistant professor at the University of Dayton in Dayton, OH
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Susan D. Jordan
is an associate professor in the Gatton College of Business and Economics at the University of Kentucky in Lexington, KY
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Denver H. Travis
is an assistant professor in the Haub School of Business at Saint Joseph’s University in Philadelphia, PA
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

Bond ETFs trading at a premium (discount) to NAV experience more creations (redemptions) than those trading at parity. When these transactions occur, subsequent returns partially offset the premium or discount. These results suggest that arbitrage trading between the underlying bonds and the ETFs has a significant impact on market returns. However, in the absence of cash flow, premiums and discounts persist. The authors consider market factors that discourage arbitrage trading around premiums and discounts, and find these anomalies persist in part due to costs and uncertainty in the secondary market.

TOPICS: Fixed income and structured finance, exchange-traded funds and applications

  • © 2017 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Fixed Income: 27 (1)
The Journal of Fixed Income
Vol. 27, Issue 1
Summer 2017
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Fixed Income.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Bond ETF Arbitrage Strategies and Daily Cash Flow
(Your Name) has sent you a message from The Journal of Fixed Income
(Your Name) thought you would like to see the The Journal of Fixed Income web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Bond ETF Arbitrage Strategies and Daily Cash Flow
Jon A. Fulkerson, Susan D. Jordan, Denver H. Travis
The Journal of Fixed Income Jun 2017, 27 (1) 49-65; DOI: 10.3905/jfi.2017.27.1.049

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Bond ETF Arbitrage Strategies and Daily Cash Flow
Jon A. Fulkerson, Susan D. Jordan, Denver H. Travis
The Journal of Fixed Income Jun 2017, 27 (1) 49-65; DOI: 10.3905/jfi.2017.27.1.049
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • BACKGROUND
    • DATA AND METHODS
    • FLOW AND THE PRICE-TO-NAV RATIO
    • ABNORMAL RETURNS FOLLOWING A PRICE-TO-NAV RATIO PREMIUM OR DISCOUNT
    • FACTORS AFFECTING CREATIONS AND REDEMPTIONS
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log in
  • Update your Profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1059-8596 | E-ISSN: 2168-8648

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies