@article {Laipply7, author = {Stephen Laipply and Ananth Madhavan}, title = {Pricing and Liquidity of Fixed Income ETFs in the Covid-19 Virus Crisis of 2020}, volume = {11}, number = {3}, pages = {7--19}, year = {2020}, doi = {10.3905/jii.2020.1.096}, publisher = {Institutional Investor Journals Umbrella}, abstract = {We show that during the 2020 Covid-19 crisis: (a) Bond ETFs acted as vehicles of price discovery, and with prices often close to their intrinsic values, despite deviations from net asset value (NAV) that at times were large; (b) Bond ETFs allowed investors to rapidly and efficiently manage exposure and risk at low costs; and (c) Contrary to some academic theories, there is no evidence of {\textquotedblleft}wrong way{\textquotedblright} arbitrage.TOPICS: Exchange-traded funds and applications, exchanges/markets/clearinghouses, volatility measuresKey Findings{\textbullet} During the 2020 Covid-19 crisis, bond ETFs acted as vehicles of price discovery, and with prices often close to their intrinsic values, despite deviations from net asset value (NAV) that at times were large.{\textbullet} Bond ETFs allowed investors to trade in the secondary market, and to rapidly and efficiently manage exposure and risk at low costs.{\textbullet} The primary market where ETF shares are created and redeemed also functioned smoothly, with no evidence that the arbitrage activities of authorized participants were destabilizing.}, issn = {2154-7238}, URL = {https://jii.pm-research.com/content/11/3/7}, eprint = {https://jii.pm-research.com/content/11/3/7.full.pdf}, journal = {The Journal of Beta Investment Strategies} }