Earticle

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

Abstract
 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
 Figure

저자

• Kee-Hong Bae [ Schulich School of Business, York University, 4700 Keele Street, North York, Ontario, Canada ]
• Jun-Koo Kang [ Division of Banking and Finance, Nanyang Business School, Nanyang Technological University, Singapore ]
• Jin Wang [ School of Business and Economics, Wilfrid Laurier University, 75 University Avenue West, Waterloo, Ontario, Canada ]

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• 간행물명

  한국재무학회 학술대회

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• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330