Exchange-Traded Funds and Real Investment

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

Research output: Journal article publicationJournal articleAcademic researchpeer-review

9 Citations (Scopus)


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 languageEnglish
Pages (from-to)1043-1093
Number of pages51
JournalReview of Financial Studies
Issue number3
Publication statusPublished - 1 Mar 2023

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics


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