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Antoniou, Constantinos, Li, Frank Weikai, Liu, Xuewen, Subrahmanyam, Avanidhar and Sun, Chengzhu (2023) Exchange traded funds and real investment. Review of Financial Studies, 36 (3). pp. 1043-1093. doi:10.1093/rfs/hhac043 ISSN 0893-9454.
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Official URL: https://doi.org/10.1093/rfs/hhac043
Abstract
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.
| Item Type: | Journal Article | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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| Journal or Publication Title: | Review of Financial Studies | ||||||||
| Publisher: | Oxford University Press | ||||||||
| ISSN: | 0893-9454 | ||||||||
| Official Date: | March 2023 | ||||||||
| Dates: |
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| Volume: | 36 | ||||||||
| Number: | 3 | ||||||||
| Page Range: | pp. 1043-1093 | ||||||||
| DOI: | 10.1093/rfs/hhac043 | ||||||||
| Status: | Peer Reviewed | ||||||||
| Publication Status: | Published | ||||||||
| Reuse Statement (publisher, data, author rights): | This is a pre-copyedited, author-produced version of an article accepted for publication in Review of Financial Studies following peer review. The version of record Constantinos Antoniou, Frank Weikai Li, Xuewen Liu, Avanidhar Subrahmanyam, Chengzhu Sun, Exchange-Traded Funds and Real Investment, The Review of Financial Studies, 2022;, hhac043, is available online at: https://doi.org/10.1093/rfs/hhac043 | ||||||||
| Access rights to Published version: | Restricted or Subscription Access | ||||||||
| Date of first compliant deposit: | 20 May 2022 | ||||||||
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