Caitlin D. Dannhauser

 

PhD Candidate in Finance

Carroll School of Management

Boston College

 

Email:        dilloncg@bc.edu

Cell:           

Office:        Fulton Hall 335

 

 

 

JOB MARKET PAPER

“The Equitization of the Corporate Bond Market: ETFs Impact on Bond Yields and Liquidity”

Corporate bond Exchange Traded Funds (ETFs) lower the yield and have an insignificant or negative impact on the liquidity of constituent bonds.  A 1% increase in ETF ownership decreases non-investment grade yields by 8.6 basis points and investment grade yields by 5 basis points.  Two quasi-natural experiments confirm the lower yield effect.  ETF activity has an insignificant impact on high yield bond liquidity, but increases the transaction costs of investment grade bonds.  In both markets, ETF activity decreases the proportion of retail volume.  These results support theoretical predictions that liquidity traders exit the underlying market when a basket security exists. 

 

WORK IN PROGRESS

“Do ETFs Improve the Efficiency and Price Discovery of the Corporate Bond Market?”

 

“ETFs in the Mutual Fund Family” (with Tray Spilker)

 

 “Do Hedge Fund Activists Teach Targets How to Play the Wall Street Game? A Study of Real Activities Manipulation”