File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: Exchange-Traded Funds and Real Investment

TitleExchange-Traded Funds and Real Investment
Authors
Antoniou, CLi, FWLiu, XSubrahmanyam, ASun, C
Issue Date2022
Citation
The Review of Financial Studies, 2022, Forthcoming How to Cite?
DOI: http://dx.doi.org/10.1093/rfs/hhac043
AbstractWe investigate the link between exchange-traded funds and real investment. Cross-sectionally, higher ETF ownership is associated with an increased sensitivity of real investment to Tobin's q and a heightened ability of stock returns to forecast future earnings. Inclusion of stocks in industry ETFs enhances investment-q sensitivity and implies greater incorporation of earnings information into prices prior to public releases. Greater nonmarket ETF ownership leads to increased (reduced) reliance of real investment on own (peers') stock prices. Overall, the evidence is consistent with ETFs positively affecting real investment efficiency via greater flows of information.
Persistent Identifierhttp://hdl.handle.net/10722/314862
ISI Accession Number ID
WOS:000838797800001

 

DC FieldValueLanguage
dc.contributor.authorAntoniou, C-
dc.contributor.authorLi, FW-
dc.contributor.authorLiu, X-
dc.contributor.authorSubrahmanyam, A-
dc.contributor.authorSun, C-
dc.date.accessioned2022-08-05T09:35:56Z-
dc.date.available2022-08-05T09:35:56Z-
dc.date.issued2022-
dc.identifier.citationThe Review of Financial Studies, 2022, Forthcoming-
dc.identifier.urihttp://hdl.handle.net/10722/314862-
dc.description.abstractWe investigate the link between exchange-traded funds and real investment. Cross-sectionally, higher ETF ownership is associated with an increased sensitivity of real investment to Tobin's q and a heightened ability of stock returns to forecast future earnings. Inclusion of stocks in industry ETFs enhances investment-q sensitivity and implies greater incorporation of earnings information into prices prior to public releases. Greater nonmarket ETF ownership leads to increased (reduced) reliance of real investment on own (peers') stock prices. Overall, the evidence is consistent with ETFs positively affecting real investment efficiency via greater flows of information.-
dc.languageeng-
dc.relation.ispartofThe Review of Financial Studies-
dc.titleExchange-Traded Funds and Real Investment-
dc.typeArticle-
dc.identifier.emailLiu, X: xuewenl@hku.hk-
dc.identifier.authorityLiu, X=rp02627-
dc.identifier.doi10.1093/rfs/hhac043-
dc.identifier.hkuros335105-
dc.identifier.volumeForthcoming-
dc.identifier.isiWOS:000838797800001-

Export via OAI-PMH Interface in XML Formats

OR

Export to Other Non-XML Formats