Do investors and managers of active ETFs react to social media activities?

Sha Liu

Finance Research Letters, 2023, vol. 51, issue C

Abstract: Social media activities are a proxy for non-fundamental forces that contribute to ETF premium. Greater social media coverage of an active ETF's holdings predicts a greater ETF premium on the next trading day. Active-ETF managers are more likely to sell underlying stocks which experience more bearish social media sentiment the previous day. The findings suggest that social media activities help investors who are subject to limited attention decide which ETFs to buy, and that active-ETF managers may cater to investors’ preferences by considering social media sentiment in their investment decision making.

Keywords: Exchange-traded funds; Social media; Investor attention; Fund managers; Textual analysis (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G40 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006286

DOI: 10.1016/j.frl.2022.103454

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