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 impact firm value. We find that ETFs negatively affect firm
value but at the same time they 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.
학회소식
[2012년 제 4차] The Costs of ETF Membership: Valuation Effect of ET
작성자 : 관리자
조회수 : 787
게시일 :
2012-12-12
