PT  - JOURNAL ARTICLE
AU  - Matthew Tucker
AU  - Stephen Laipply
ED  - Goyal, Gauri
TI  - Practical Applications of Bond Market Price Discovery: <em>Clarity Through the Lens of an Exchange</em>
AID  - 10.3905/pa.2014.1.3.028
DP  - 2014 Jan 31
TA  - Practical Applications
PG  - 1--4
VI  - 1
IP  - 3
4099  - https://pm-research.com/content/1/3/1.8.short
4100  - https://pm-research.com/content/1/3/1.8.full
AB  - Bond Market Price Discovery: Clarity Through the Lens of an Exchange Matthew Tucker Stephen Laipply The more than $2.5 billion a day transacting in fixed-income exchange traded funds (ETFs) provide the opportunity to study comparative pricing behavior with the underlying bond market.Despite a rich vein of academic research on ETF pricing behavior in the equity markets, not much work has been done on the fixed-income side, Matthew Tucker, Managing Director at BlackRock , points out. Tucker co-authored the research with Stephen Laipply, Director at BlackRock. Both are in the Fixed-Income Portfolio Management Group.This Practical Applications report outlines their empirical analysis in Bond Market Price Discovery: Clarity Through the Lens of an Exchange , which appeared in the Fall 2013 issue of The Journal of Portfolio Management . The research covers ETF bond indices in the investment-grade, municipal, high-yield and Treasury markets, with comparative implications among the different sectors and during different market periods.The authors describe when differences between price discovery in over-the-counter bonds and fixed-income ETFs are most acute and outline a simple trading strategy to take advantage of mispricing.