… STEPHEN LAIPPLY is a director in the fixedincome portfolio managemerit group at …
Tucker and Laipply quantify the price discovery properties of fixed—income ETFs, focusing …

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 …

The continued development of indexes, factor frameworks, and attribution tools in fixed-income
markets provides a deeper understanding of manager performance and optimal portfolio …

The over-the-counter global corporate bond market, characterized by opacity and illiquidity,
is undergoing a rapid transformation driven by new regulations and technology. Bond …

Market efficiency is an important topic for academics and practitioners. The main characteristic
of efficiency is how accurately and quickly asset prices reflect available information. …

This article seeks to explain the relationship between the yields, cash flows, and total
returns of fixed income index portfolios (mutual funds or ETFs) as observable duration-targeted …

The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies
on bond instruments of all types—investment grade, high-yield, municipals, ABS and MBS…

The proposed mechanism for what we term the destabilization hypothesis is that an
exogenous shock triggers large redemptions by fund investors, requiring fund managers to sell …

The authors provide empirical evidence on functioning of the primary market for iShares
fixed income exchange-traded funds (ETFs) during the Covid-19 crisis, the first analysis of …

In our original JOT paper, we described a logical approach to developing and implementing
an intraday intrinsic value estimate. The approach is “bottoms up” or bond-by-bond, based …