Open Access. Powered by Scholars. Published by Universities.®
- Institution
Articles 1 - 7 of 7
Full-Text Articles in Business
Exchange-Traded Funds And Real Investment, Constantinos Antoniou, Frank Weikai Li, Xuewen Liu, Avanidhar Subrahmanyam, Chengzhu Sun
Exchange-Traded Funds And Real Investment, Constantinos Antoniou, Frank Weikai Li, Xuewen Liu, Avanidhar Subrahmanyam, Chengzhu Sun
Research Collection Lee Kong Chian School Of Business
We investigate the link between exchange-traded funds and real investment. Cross-sectionally, higher ETF ownership is associated with an increased sensitivity of real investment to Tobin's q and a heightened ability of stock returns to forecast future earnings. Inclusion of stocks in industry ETFs enhances investment-q sensitivity and implies greater incorporation of earnings information into prices prior to public releases. Greater nonmarket ETF ownership leads to increased (reduced) reliance of real investment on own (peers') stock prices. Overall, the evidence is consistent with ETFs positively affecting real investment efficiency via greater flows of information.
Financial Intermediaries And Contagion In Market Efficiency: The Case Of Etfs, Claire Yurong Hong, Frank Weikai Li, Avanidhar Subrahmanyam
Financial Intermediaries And Contagion In Market Efficiency: The Case Of Etfs, Claire Yurong Hong, Frank Weikai Li, Avanidhar Subrahmanyam
Research Collection Lee Kong Chian School Of Business
Capital constraints of financial intermediaries can affect liquidity provision. We investigate whether these constraints spillover and consequently cause contagion in the degree of market efficiency across assets managed by a common intermediary. Specifically, we provide evidence of strong comovement in pricing gaps between ETFs and their constituents for ETFs served by the same lead market maker (LMM). The effects are stronger for ETFs that are more illiquid and volatile, when the underlying constituents of the ETFs are more costly to arbitrage, and for LMMs with more constrained capital. Using extreme disruptions in debt markets during COVID-19 as an experiment, we …
Short Selling Etfs, Frank Weikai Li, Qifei Zhu
Short Selling Etfs, Frank Weikai Li, Qifei Zhu
Research Collection Lee Kong Chian School Of Business
We provide novel evidence that arbitrageurs use exchange-traded funds (ETFs) as an avenue to circumvent short-sale constraints at the stock level. Using a large sample of U.S. equity ETF holdings, we document that shorting activity on ETFs rises with the difficulty of shorting underlying stocks. Stocks heavily shorted via their holding ETFs underperform those that are lightly shorted. The return predictability of ETF shorting is distinct from stock-level shorting measures and is concentrated among stocks that face severe arbitrage constraints. These findings suggest that ETFs allow arbitrageurs to target overpriced stocks that are otherwise difficult to short.
The New Titans Of Wall Street: A Theoretical Framework For Passive Investors, Jill E. Fisch, Asaf Hamdani, Steven Davidoff Solomon
The New Titans Of Wall Street: A Theoretical Framework For Passive Investors, Jill E. Fisch, Asaf Hamdani, Steven Davidoff Solomon
All Faculty Scholarship
Passive investors — ETFs and index funds — are the most important development in modern day capital markets, dictating trillions of dollars in capital flows and increasingly owning much of corporate America. Neither the business model of passive funds, nor the way that they engage with their portfolio companies, however, is well understood, and misperceptions of both have led some commentators to call for passive investors to be subject to increased regulation and even disenfranchisement. Specifically, this literature takes a narrow view both of the market in which passive investors compete to manage customer funds and of passive investors’ participation …
The Real Effects Of Exchange Traded Funds, Frank Weikai Li, Xuewen Liu, Chengzhu Sun
The Real Effects Of Exchange Traded Funds, Frank Weikai Li, Xuewen Liu, Chengzhu Sun
Research Collection Lee Kong Chian School Of Business
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 the managerial learning channel. Higher ownership by ETFs increases the firm's stock price informativeness about systematic shocks but may decrease the informativeness about firm-specific shocks; however, the firm manager cares most and wants to learn from the stock price mainly about systematic shocks in making investment decisions as he already has precise private information …
Analysis Of The Factors Impacting Etfs Net Fund Flow Changes, Stoyu Ivanov
Analysis Of The Factors Impacting Etfs Net Fund Flow Changes, Stoyu Ivanov
Faculty Publications
PurposeThe purpose of this study is to identify the factors that impact the exchange-traded funds net fund flow changes on a daily basis.Design/methodology/approachA total of 1,212 different exchange-traded funds with a proprietary daily net fund flow data and logistic regressions were studied because the majority of the 1,212 exchange-traded funds have mostly zero daily net fund flow changes.FindingsIt was documented that in the period December 22, 2005 to July 28, 2010 autocorrelation at the daily frequency is not universally present for the 1,212 exchange-traded funds that we study, despite the fact that this is the case in the monthly data …
Study Of Reit Etf Beta, Stoyu Ivanov
Study Of Reit Etf Beta, Stoyu Ivanov
Faculty Publications
PurposeThe aim of this study is to examine real estate investment trust exchange-traded funds (REIT ETFs) and test for the existence of the “asymmetric beta puzzle” phenomenon in these financial instruments that are relatively new and are gaining popularity. The “asymmetric beta puzzle” phenomenon is used to identify the hedging and diversification benefits of a financial instrument. “Asymmetric beta puzzle” exists when betas in declining markets are higher than betas in advancing markets.Design/methodology/approachTo study 14 REIT ETFs by using monthly and daily Center for Research in Security Prices (CRSP) data. Capital asset pricing model (CAPM) and Fama–French three-factor model were …