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The authors explained how the underlying indexes of bonds do not trade intraday as do underlying indexes of stocks and bond ETFs. Their study explained the extent to which premiums/discounts developed and persisted; and the effects on return and liquidity measures. 

They observed large changes in returns unrelated to market changes. Premiums and discounts persist longer and are of greater magnitude than customarily exemplified by stock ETFs. Accordingly, adroit investors should be able to capitalize on the larger premiums and discounts and thereby earn higher returns. 

They documented large returns for extreme premium/NAV ratio ETFs. 

They analyzed the prior month's premiums and discounts, and in line with their persistence observances found the results of prior months to be highly significant. 

The authors refused to declare an arbitrage strategy; nevertheless, they recommended that buying bond ETFs that trade at substantial discounts can enhance an investor's return. This recent study suggests possible bond ETF investment strategies in this low interest rate market.

Source: Fulkerson, J. A., Jordan, S. D., & Riley, T. B. (2014). Predictability in Bond ETF Returns. The Journal of Fixed Income, 23(3), 50-63.

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