Exchange-Traded Funds and Real Investment

Constantinos Antoniou; Frank Weikai Li; Xuewen Liu; Avanidhar Subrahmanyam; Chengzhu Sun

doi:10.1093/rfs/hhac043

Exchange-Traded Funds and Real Investment

Constantinos Antoniou, Frank Weikai Li, Xuewen Liu, Avanidhar Subrahmanyam, Chengzhu Sun

Research output: Journal article publication › Journal article › Academic research › peer-review

13 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	1043-1093
Number of pages	51
Journal	Review of Financial Studies
Volume	36
Issue number	3
DOIs	https://doi.org/10.1093/rfs/hhac043
Publication status	Published - 1 Mar 2023

ASJC Scopus subject areas

Accounting
Finance
Economics and Econometrics

More information

10.1093/rfs/hhac043

http://hdl.handle.net/10397/94869

Cite this

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Exchange-Traded Funds and Real Investment

Abstract

ASJC Scopus subject areas

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