Is there a dark side to exchange traded funds? An information perspective

• 成果类型: Article
• 署名作者: Israeli, Doron; Lee, Charles M. C.; Sridharan, Suhas A.
• 署名单位: Reichman University; Stanford University; Emory University
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-017-9400-8
• 发表日期: 2017
• 页码: 1048-1083
• 关键词: RATIONAL-EXPECTATIONS ECONOMY; Stock return synchronicity; Bid-ask spread; FUTURE EARNINGS; cross-section; MARKETS; prices; aggregation; disclosure; securities

摘要

We examine whether an increase in ETF ownership is accompanied by a decline in pricing efficiency for the underlying component securities. Our tests show an increase in ETF ownership is associated with (1) higher trading costs (bid-ask spreads and market liquidity), (2) an increase in stock return synchronicity, (3) a decline in future earnings response coefficients, and (4) a decline in the number of analysts covering the firm. Collectively, our findings support the view that increased ETF ownership can lead to higher trading costs and lower benefits from information acquisition. This combination results in less informative security prices for the underlying firms.