Exchange-Traded Funds and Real Investment

IF 6.8 1区经济学 Q1 BUSINESS, FINANCE

Review of Financial Studies Pub Date : 2022-07-20 DOI:10.1093/rfs/hhac043

Constantinos Antoniou, F. Li, Xuewen Liu, A. Subrahmanyam, Chengzhu Sun

引用次数: 8

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.

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交易所交易基金和房地产投资

我们研究了交易所交易基金与实际投资之间的联系。横截面上，较高的ETF拥有量与实际投资对托宾q的敏感度增加以及股票回报预测未来收益的能力增强有关。将股票纳入行业etf提高了投资q的敏感性，并意味着在公开发布之前，更多地将收益信息纳入价格。更多的非市场ETF持有量导致实际投资对自己(同行)股票价格的依赖增加(减少)。总体而言，证据与etf通过更大的信息流积极影响实际投资效率是一致的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Financial Studies Multiple-

CiteScore

16.00

自引率

2.40%

发文量

期刊介绍： The Review of Financial Studies is a prominent platform that aims to foster and widely distribute noteworthy research in financial economics. With an expansive editorial board, the Review strives to maintain a balance between theoretical and empirical contributions. The primary focus of paper selection is based on the quality and significance of the research to the field of finance, rather than its level of technical complexity. The scope of finance within the Review encompasses its intersection with economics. Sponsoring The Society for Financial Studies, the Review and the Society appoint editors and officers through limited terms.