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- Publisher Website: 10.1093/rfs/hhaa077
- Scopus: eid_2-s2.0-85104283207
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Article: Innovation and Informed Trading: Evidence from Industry ETFs
| Title | Innovation and Informed Trading: Evidence from Industry ETFs |
|---|---|
| Authors | |
| Keywords | G12 - Asset Pricing Trading volume Bond Interest Rates G14 - Information and Market Efficiency Event Studies |
| Issue Date | 2020 |
| Publisher | Oxford University Press. The Journal's web site is located at http://rfs.oxfordjournals.org/ |
| Citation | The Review of Financial Studies, 2020, Epub 2020-07-07 How to Cite? |
| Abstract | We empirically examine the impact of industry exchange-traded funds (IETFs) on informed trading and market efficiency. We find that IETF short interest spikes simultaneously with hedge fund holdings on the member stock before positive earnings surprises, reflecting long-the-stock/short-the-ETF activity. This pattern is stronger among stocks with high industry risk exposure. A difference-in-difference analysis on the ETF inception event shows that IETFs reduce post-earnings-announcement drift more among stocks with high industry risk exposure, suggesting that IETFs improve market efficiency. We also find that the short interest ratio of IETFs positively predicts IETF returns, consistent with the hedging role of IETFs. |
| Persistent Identifier | http://hdl.handle.net/10722/284756 |
| ISSN | 2021 Impact Factor: 8.414 2020 SCImago Journal Rankings: 12.800 |
| ISI Accession Number ID |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Huang, S | - |
| dc.contributor.author | O’Hara, M | - |
| dc.contributor.author | Zhong, Z | - |
| dc.date.accessioned | 2020-08-07T09:02:13Z | - |
| dc.date.available | 2020-08-07T09:02:13Z | - |
| dc.date.issued | 2020 | - |
| dc.identifier.citation | The Review of Financial Studies, 2020, Epub 2020-07-07 | - |
| dc.identifier.issn | 0893-9454 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/284756 | - |
| dc.description.abstract | We empirically examine the impact of industry exchange-traded funds (IETFs) on informed trading and market efficiency. We find that IETF short interest spikes simultaneously with hedge fund holdings on the member stock before positive earnings surprises, reflecting long-the-stock/short-the-ETF activity. This pattern is stronger among stocks with high industry risk exposure. A difference-in-difference analysis on the ETF inception event shows that IETFs reduce post-earnings-announcement drift more among stocks with high industry risk exposure, suggesting that IETFs improve market efficiency. We also find that the short interest ratio of IETFs positively predicts IETF returns, consistent with the hedging role of IETFs. | - |
| dc.language | eng | - |
| dc.publisher | Oxford University Press. The Journal's web site is located at http://rfs.oxfordjournals.org/ | - |
| dc.relation.ispartof | The Review of Financial Studies | - |
| dc.rights | Pre-print: Journal Title] ©: [year] [owner as specified on the article] Published by Oxford University Press [on behalf of xxxxxx]. All rights reserved. Pre-print (Once an article is published, preprint notice should be amended to): This is an electronic version of an article published in [include the complete citation information for the final version of the Article as published in the print edition of the Journal.] Post-print: This is a pre-copy-editing, author-produced PDF of an article accepted for publication in [insert journal title] following peer review. The definitive publisher-authenticated version [insert complete citation information here] is available online at: xxxxxxx [insert URL that the author will receive upon publication here]. | - |
| dc.subject | G12 - Asset Pricing | - |
| dc.subject | Trading volume | - |
| dc.subject | Bond Interest Rates | - |
| dc.subject | G14 - Information and Market Efficiency | - |
| dc.subject | Event Studies | - |
| dc.title | Innovation and Informed Trading: Evidence from Industry ETFs | - |
| dc.type | Article | - |
| dc.identifier.email | Huang, S: huangsy@hku.hk | - |
| dc.identifier.authority | Huang, S=rp02052 | - |
| dc.description.nature | link_to_subscribed_fulltext | - |
| dc.identifier.doi | 10.1093/rfs/hhaa077 | - |
| dc.identifier.scopus | eid_2-s2.0-85104283207 | - |
| dc.identifier.hkuros | 311559 | - |
| dc.identifier.volume | Epub 2020-07-07 | - |
| dc.identifier.isi | WOS:000649395200005 | - |
| dc.publisher.place | United Kingdom | - |
| dc.identifier.issnl | 0893-9454 | - |