RT Journal Article SR Electronic T1 Are Bond ETF Investors Smart? JF The Journal of Fixed Income FD Institutional Investor Journals SP 60 OP 83 DO 10.3905/jfi.2015.24.4.060 VO 24 IS 4 A1 Jon A. Fulkerson A1 Susan D. Jordan A1 Denver H. Travis YR 2015 UL https://pm-research.com/content/24/4/60.abstract AB Since their introduction in 2002, bond ETFs have grown dramatically, with more than $243 billion in assets by the end of 2012. Using data on gross flows from N-SAR filings, we provide the first comprehensive examination of bond ETF characteristics and cash flows. We find evidence of return chasing in the net flows of some fund styles; in particular, investment grade corporate, international, and TIPS funds. In addition to past returns, other factors related to fund flows are fund size, expense ratio, and premium/discounts. We also examine the relationship between short interest and fund flows, and find that lightly shorted funds have both lower inflows and net flows. Finally, we test if bond ETF investors optimally time their purchases and sales. We find evidence of smartness in the timing of ETF sales, with investors earning 30 basis points in alpha per month.TOPICS: Fixed income and structured finance, exchange-traded funds and applications, factor-based models