원문정보
초록
영어
In this paper, we investigate the effect of exchange traded funds (ETFs) on the value of their underlying stocks and the channels through which ETFs have an impact on firm value. We find that ETFs negatively affect firm value but also have a positive impact on underlying stocks’ systematic volatility, short interest, and liquidity. These effects of ETF on firm value and stock characteristics are more pronounced for small firms. We further find that the positive effects of ETFs on these stock characteristics are the main channels through which ETFs negatively impact firm value. Although stock liquidity is known to have a positive effect on firm value, increases in stock liquidity driven by ETFs have a negative effect on firm value because these increases facilitate short-selling activities by investors.
목차
I. Data, variable construction, and summary statistics
A. Data
B. Variable construction
C. Summary statistics
II. The valuation effect of ETFs on underlying stocks
III. Do ETFs affect underlying stocks’ characteristics?
A. Effects of ETF holdings on stock volatility
B. Effects of ETF holdings on short interest
C. Effects of ETF holdings on stock liquidity
IV. Do ETF-related changes in stock characteristics affect firm value?
V. Overvaluation and Adverse Effect of ETFs on Firm Value
VI. Robustness tests
A. Valuation effect of ETFs: Controlling for additional firm characteristics
B. Impact of ETF inception: Event study
VII. Summary and conclusion
References
Appendix
Table
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