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Annual Conference

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Accounting

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May 2018

Do Exchange Traded Funds affect the processing of Earnings Information?

Partha MOHANRAM, Suning ZHANG, Sanjeev BHOJRAJ
We examine whether an increase in ETF ownership is accompanied by a decline in pricing efficiency for the underlying component securities. Our tests show an increase in ETF ownership is associated with: (1) higher trading costs (bid-ask spreads and market liquidity); (2) an increase in “stock retu...
Keywords: Exchange traded funds (ETFs), Uninformed and informed traders, Costly information, Trading costs, Market pricing efficiency, Informative prices.
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Annual Conference

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Accounting

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May 2018

ETFs and Information Transfer Across Firms

Partha MOHANRAM, Suning ZHANG, Sanjeev BHOJRAJ
This paper examines the role that exchange-traded funds (ETFs) play in the transfer of information across firms around earnings announcements. Our analysis focuses on the differences in information transfer between broad-based and sector ETFs. We find that firms with sector ETF ownership are associa...
Keywords: ETF, Information transfer, Post earnings announcement drift, sector ETF
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