题　目：Underlying Valuation Uncertainty, Strategic ETF Creation and Pricing Efficiency

嘉　宾：薛今明 助理教授 Southern Methodist University

主持人：万相伟 副教授 上海交通大学安泰经济与管理

时　间：2026年6月24日（周三）13:30-15:00

地　点：上海交通大学 徐汇校区安泰浩然楼306

内容简介:

This paper identifies a novel mechanism through which uncertainty in corporate bond valuation shapes the creation process of corporate bond ETFs. Although multiple ETFs can accept the same bond during the “in-kind” creation process, they often value it differently. Such valuation dispersion is driven by fund pricing conventions and external pricing sources but can also reflect ETFs’ efforts to minimize tracking error. Authorized Participants (APs) exploit these differences by delivering a bond to the ETF that values it most highly. While this strategic behavior increases APs’ profits, it dilutes holdings of incumbent investors and undermines ETF pricing efficiency.

演讲人简介：

Jinming Xue is an Assistant Professor of Finance at Southern Methodist University's Cox School of Business. Jinming received my Ph.D. in Finance from the University of Maryland, College Park in 2020.

My research interests are in the areas of empirical asset pricing, market microstructure, institutional investors, financial intermediation, fixed income, option pricing.

欢迎广大师生参加!