The real effects of exchange traded funds

• Main Authors: LI, Frank Weikai, LIU, Xuewen, SUN, Chengzhu
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2018
• Subjects: ETFs; Real Efficiency; Informational Efficiency; Managerial Learning; Finance; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/5949; https://ink.library.smu.edu.sg/context/lkcsb_research/article/6948/viewcontent/SSRN_id3129369.pdf
• Institution: Singapore Management University

This paper investigates the effects of exchange-traded funds (ETFs) on the real efficiency of the underlying securities. We document strong evidence that being held by ETFs increases the sensitivity of a firm's investment to its own stock price. This is consistent with the model prediction on t...