RT Journal Article SR Electronic T1 Bond Market Price Discovery: Clarity Through the Lens of an Exchange JF The Journal of Portfolio Management FD Institutional Investor Journals SP 49 OP 62 DO 10.3905/jpm.2013.39.2.049 VO 39 IS 2 A1 Matthew Tucker A1 Stephen Laipply YR 2013 UL https://pm-research.com/content/39/2/49.abstract AB Fixed-income exchange-traded funds (ETFs) are bond portfolios that trade on a stock exchange. They present a unique opportunity to compare the valuation of fixed-income securities on exchange-driven and over-the-counter (OTC) markets. Tucker and Laipply quantify the price discovery properties of fixed-income ETFs, focusing in particular on the speed at which the ETF and OTC bond markets reflect new price information. They find that fixed-income ETF price movements can potentially serve as a leading signal for subsequent OTC bond market movements (as proxied by bond market indices), especially when volatility is high. The authors also explore potential trading strategies that capitalize on this dynamic.TOPICS: Exchange-traded funds and applications, fixed-income portfolio management, exchanges/markets/clearinghouses