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Conference Paper: Innovation and Informed trading: Evidence from industry ETFs
| Title | Innovation and Informed trading: Evidence from industry ETFs |
|---|---|
| Authors | |
| Issue Date | 2018 |
| Publisher | London School of Economics and Political Science, University of London. |
| Citation | The 11th Annual Conference of the Paul Woolley Centre for the Study of Capital Market Dysfunctionality in collaboration with the Bank for International Settlements, London, UK, 7-8 June 2018 How to Cite? |
| Abstract | We hypothesize that industry exchange traded funds (ETFs) encourage informed trading on underlying firms through facilitating the hedge of industry-specific risks. We find that the industry ETF membership increases hedge funds’ abnormal holdings before earnings announcements and reduces the market reaction to the firm’s earnings surprise, especially the positive surprise. In addition, we show that short interest on industry ETFs positively predicts returns on these ETFs and the percentage of positive earnings announcements of underlying firms. Our results suggest that financial innovations such as industry ETFs can be beneficial for informational efficiency if they help investors to hedge risks. |
| Description | Session 2 (BIS Session): Liquidity and Market Functioning |
| Persistent Identifier | http://hdl.handle.net/10722/260893 |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Huang, S | - |
| dc.contributor.author | O'Hara, M | - |
| dc.contributor.author | Zhong, Z | - |
| dc.date.accessioned | 2018-09-14T08:49:07Z | - |
| dc.date.available | 2018-09-14T08:49:07Z | - |
| dc.date.issued | 2018 | - |
| dc.identifier.citation | The 11th Annual Conference of the Paul Woolley Centre for the Study of Capital Market Dysfunctionality in collaboration with the Bank for International Settlements, London, UK, 7-8 June 2018 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/260893 | - |
| dc.description | Session 2 (BIS Session): Liquidity and Market Functioning | - |
| dc.description.abstract | We hypothesize that industry exchange traded funds (ETFs) encourage informed trading on underlying firms through facilitating the hedge of industry-specific risks. We find that the industry ETF membership increases hedge funds’ abnormal holdings before earnings announcements and reduces the market reaction to the firm’s earnings surprise, especially the positive surprise. In addition, we show that short interest on industry ETFs positively predicts returns on these ETFs and the percentage of positive earnings announcements of underlying firms. Our results suggest that financial innovations such as industry ETFs can be beneficial for informational efficiency if they help investors to hedge risks. | - |
| dc.language | eng | - |
| dc.publisher | London School of Economics and Political Science, University of London. | - |
| dc.relation.ispartof | LSE Paul Woolley Conference 2018 | - |
| dc.title | Innovation and Informed trading: Evidence from industry ETFs | - |
| dc.type | Conference_Paper | - |
| dc.identifier.email | Huang, S: huangsy@hku.hk | - |
| dc.identifier.authority | Huang, S=rp02052 | - |
| dc.description.nature | postprint | - |
| dc.identifier.hkuros | 290076 | - |
| dc.publisher.place | London | - |