ETF Activity and Informational Efficiency of Underlying Securities

• 成果类型: Article
• 署名作者: Glosten, Lawrence; Nallareddy, Suresh; Zou, Yuan
• 署名单位: Columbia University; Duke University; Harvard University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2019.3427
• 发表日期: 2021
• 页码: 22-47
• 关键词: ETF; informational efficiency; Co-movement; systematic earnings; post-earnings-announcement drift; share lending

摘要

This paper investigates the effect of exchange-traded funds' (ETFs') activity on the short-run informational efficiency of their underlying securities. We find that ETF activity increases short-run informational efficiency for stocks with weak information environments. The increase in informational efficiency results from the timely incorporation of systematic earnings information. In contrast, we find no such effect for stocks with stronger information environments. ETF activity increases return comovement, and this increase is partly attributable to the timely incorporation of systematic earnings information. Further, ETF activity is associated with an attenuation of postearnings-announcement drift and an increase in active share lending.