Fiche du document
5 juillet 2014
- handle: 10670/1.10lzd2
- halshs: halshs-01023807
info:eu-repo/semantics/OpenAccess
Sujets proches
Investors Shareholders Funds Funding Financiers InvestorsCiter ce document
Christophe Hurlin et al., « The Counterparty Risk Exposure of ETF Investors », HAL-SHS : économie et finance, ID : 10670/1.10lzd2
Métriques
Partage / Export
Résumé
As most Exchange-Traded Funds (ETFs) engage in securities lending or are based on total return swaps, they expose their investors to counterparty risk. In this paper, we estimate empirically such risk exposures for a sample of physical and swap-based funds. We find that counterparty risk exposure is higher for swap-based ETFs, but that investors are compensated for bearing this risk. Using a difference-in-differences specification, we uncover that ETF flows respond significantly to changes in counter-party risk. Finally, we show that switching to an optimal collateral portfolio leads to substantial reduction in counterparty risk exposure.