ETF 出现后金融分析性质的变化

IF 4.8 3区 管理学 Q1 BUSINESS, FINANCE
Russell Lundholm, Xin Zheng
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引用次数: 0

摘要

我们研究了持有特定行业公司的电子交易基金(ETF)的推出如何改变跟踪该行业公司的分析师的行为。行业 ETF 允许投资者将特定公司的收益与行业收益分开交易。这导致不同类型信息的价值发生重大变化。特别是,在公司的行业 ETF 覆盖率增加后,该公司下一年的分析师覆盖率也会增加,而且在控制了机构投资和其他特征的变化后,这种情况仍然成立。我们还发现,在 ETF 覆盖率增加后,分析师的建议更有可能包含独立于公司具体建议的行业建议,而且后者更有可能以相对方式表述。如果新的 ETF 能够更好地对冲行业回报因素,并且我们引入了可信的内生性控制,那么我们的研究结果就会得到加强。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

The changing nature of financial analysis in the presence of ETFs

The changing nature of financial analysis in the presence of ETFs

We study how the launch of an electronically traded fund (ETF) that holds firms in a specific industry changes the behavior of analysts who follow that firms in that industry. An industry ETF allows investors to trade the firm-specific payoff separately from the industry payoff. This causes significant changes in the value of different types of information. In particular, following an increase in a firm’s industry ETF coverage, the firm’s analyst coverage increases in the following year, and this holds after controlling for changes in institutional investment and other characteristics. We also find that, following an increase in ETF coverage, analyst recommendations are more likely to include an industry recommendation separate from the firm-specific recommendation, and the latter is more likely to be stated in relative terms. Our results strengthen when the new ETF is a better hedge against the industry payoff factor and when we introduce a plausible control for endogeneity.

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来源期刊
Review of Accounting Studies
Review of Accounting Studies BUSINESS, FINANCE-
CiteScore
7.90
自引率
7.10%
发文量
82
期刊介绍: Review of Accounting Studies provides an outlet for significant academic research in accounting including theoretical, empirical, and experimental work. The journal is committed to the principle that distinctive scholarship is rigorous. While the editors encourage all forms of research, it must contribute to the discipline of accounting. The Review of Accounting Studies is committed to prompt turnaround on the manuscripts it receives.  For the majority of manuscripts the journal will make an accept-reject decision on the first round.  Authors will be provided the opportunity to revise accepted manuscripts in response to reviewer and editor comments; however, discretion over such manuscripts resides principally with the authors.  An editorial revise and resubmit decision is reserved for new submissions which are not acceptable in their current version, but for which the editor sees a clear path of changes which would make the manuscript publishable. Officially cited as: Rev Account Stud
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