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Conference Paper: Innovation and Informed trading: Evidence from industry ETFs
| Title | Innovation and Informed trading: Evidence from industry ETFs |
|---|---|
| Authors | |
| Issue Date | 2019 |
| Publisher | American Finance Association |
| Citation | American Finance Association 2019 Annual Meeting, Atlanta, GA, 4-6 January 2019 How to Cite? |
| Abstract | We hypothesize that industry exchange traded funds (ETFs) encourage informed trading on
underlying firms through facilitating the hedge of industry-specific risks. We find that the
industry ETF membership increases hedge funds’ abnormal holdings before earnings
announcements and reduces the market reaction to the firm’s earnings surprise, especially the
positive surprise. In addition, we show that short interest on industry ETFs positively predicts
returns on these ETFs and the percentage of positive earnings announcements of underlying
firms. Our results suggest that financial innovations such as industry ETFs can be beneficial
for informational efficiency if they help investors to hedge risks. |
| Description | Session: Information and Trading in Financial Markets |
| Persistent Identifier | http://hdl.handle.net/10722/260958 |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Huang, S | - |
| dc.contributor.author | O'Hara, M | - |
| dc.contributor.author | Zhong, Z | - |
| dc.date.accessioned | 2018-09-14T08:50:08Z | - |
| dc.date.available | 2018-09-14T08:50:08Z | - |
| dc.date.issued | 2019 | - |
| dc.identifier.citation | American Finance Association 2019 Annual Meeting, Atlanta, GA, 4-6 January 2019 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/260958 | - |
| dc.description | Session: Information and Trading in Financial Markets | - |
| dc.description.abstract | We hypothesize that industry exchange traded funds (ETFs) encourage informed trading on underlying firms through facilitating the hedge of industry-specific risks. We find that the industry ETF membership increases hedge funds’ abnormal holdings before earnings announcements and reduces the market reaction to the firm’s earnings surprise, especially the positive surprise. In addition, we show that short interest on industry ETFs positively predicts returns on these ETFs and the percentage of positive earnings announcements of underlying firms. Our results suggest that financial innovations such as industry ETFs can be beneficial for informational efficiency if they help investors to hedge risks. | - |
| dc.language | eng | - |
| dc.publisher | American Finance Association | - |
| dc.relation.ispartof | American Finance Association Annual Meeting | - |
| dc.title | Innovation and Informed trading: Evidence from industry ETFs | - |
| dc.type | Conference_Paper | - |
| dc.identifier.email | Huang, S: huangsy@hku.hk | - |
| dc.identifier.authority | Huang, S=rp02052 | - |
| dc.identifier.hkuros | 290086 | - |
| dc.publisher.place | Atlanta, GA | - |