Discussion of ETFs and information transfer across firms

• 成果类型: Editorial Material
• 署名作者: Nallareddy, Suresh
• 署名单位: Duke University
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2020.101358
• 发表日期: 2020
• 关键词: EXCHANGE-TRADED FUNDS; TRANSPARENCY

摘要

Bhojraj, Mohanram, and Zhang (2020) examine how the presence of different types of Exchange Traded Funds (ETFs) affects information transfer across firms. Using earnings announcements as an information event, the authors document that sector ETFs improve informational efficiency by better facilitating information transfer across firms. Furthermore, sector ETFs reduce post-earnings announcement drift. However, the findings using broad ETFs are mixed. In this discussion, I first place the paper within the broader literature that investigates the informational efficiency of stock prices. Second, I highlight the key insights and contributions of the paper. Third, I discuss empirical design issues and the interpretation of findings. Lastly, I suggest areas for future research. (C) 2020 Elsevier B.V. All rights reserved.