Publication Type
Journal Article
Version
submittedVersion
Publication Date
3-2023
Abstract
We 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.
Keywords
ETFs, Real Efficiency, Managerial Learning, Feedback Effects
Discipline
Finance | Finance and Financial Management
Research Areas
Finance
Publication
Review of Financial Studies
Volume
36
Issue
3
First Page
1043
Last Page
1093
ISSN
0893-9454
Identifier
10.1093/rfs/hhac043
Publisher
Oxford University Press
Citation
ANTONIOU, Constantinos; LI, Frank Weikai; LIU, Xuewen; SUBRAHMANYAM, Avanidhar; and SUN, Chengzhu.
Exchange-traded funds and real investment. (2023). Review of Financial Studies. 36, (3), 1043-1093.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/7060
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1093/rfs/hhac043