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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 | Chinese Association of Finance. |
| Citation | China International Conference in Finance (CICF) 2018, Tianjin, China, 10-13 July 2018 How to Cite? |
| Abstract | We hypothesize that industry exchange traded funds (ETFs) encourage informed trading on the
underlying firms through facilitating the hedge of industry-specific risks. We find that industry ETF memberships 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: Information, Attention, and Market Liquidity |
| Persistent Identifier | http://hdl.handle.net/10722/260894 |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Huang, S | - |
| dc.contributor.author | O'Hara, M | - |
| dc.contributor.author | Zhong, Z | - |
| dc.date.accessioned | 2018-09-14T08:49:08Z | - |
| dc.date.available | 2018-09-14T08:49:08Z | - |
| dc.date.issued | 2018 | - |
| dc.identifier.citation | China International Conference in Finance (CICF) 2018, Tianjin, China, 10-13 July 2018 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/260894 | - |
| dc.description | Session: Information, Attention, and Market Liquidity | - |
| dc.description.abstract | We hypothesize that industry exchange traded funds (ETFs) encourage informed trading on the underlying firms through facilitating the hedge of industry-specific risks. We find that industry ETF memberships 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 | Chinese Association of Finance. | - |
| dc.relation.ispartof | China International Conference in Finance (CICF), 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 | 290079 | - |
| dc.publisher.place | China | - |