ETFs and information transfer across firms

• 成果类型: Article
• 署名作者: Bhojraj, Sanjeev; Mohanram, Partha; Zhang, Suning
• 署名单位: Cornell University; University of Toronto; Iowa State University
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2020.101336
• 发表日期: 2020
• 关键词: EARNINGS-ANNOUNCEMENT DRIFT; stock-prices; industry; reflect; MARKET; return; RISK

摘要

This paper examines the role that exchange-traded funds (ETFs) play in the transfer of information across firms around earnings announcements. Our analysis focuses on the differences in information transfer between broad-based and sector ETFs. We find that firms with sector ETF ownership are associated with reduced over-extrapolation of intra-industry information, increased earnings response coefficients (ERCs), greater responsiveness to the industry and idiosyncratic components of earnings surprise, and reduced post-earnings announcement drift. Conversely, broad-based ETFs are associated with decreased ERCs and lower responsiveness to industry and idiosyncratic information. Follower firms in sector ETFs show stronger reactions and weaker reversals when leader firms in the same ETFs release earnings, while follower firms in broad-based ETFs show weaker reactions and greater reversals. Overall, sector ETFs have improved informational efficiency by facilitating information transfer, while broad ETFs might have worsened informational efficiency in the context of earnings announcements. (C) 2020 Elsevier B.V. All rights reserved.