Exchange-Traded Funds and Real Investment

• 成果类型: Article
• 署名作者: Antoniou, Constantinos; Li, Frank Weikai; Liu, Xuewen; Subrahmanyam, Avanidhar; Sun, Chengzhu
• 署名单位: University of Warwick; Singapore Management University; University of Hong Kong; University of California System; University of California Los Angeles; Hong Kong Polytechnic University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhac043
• 发表日期: 2023
• 页码: 1043
• 关键词: stock-prices; institutional investors; corporate governance; financial-markets; INFORMATION; IMPACT; ETFs; sensitivity; constraints; COMPETITION

摘要

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.