 ETFs and information transfer across firmsSanjeev Bhojraj, Partha Mohanram and Suning Zhang Journal of Accounting and Economics, 2020, vol. 70, issue 2 Abstract: 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 associated with reduced over-extrapolation of intra-industry information, increased earnings response coefficients (ERCs), greater responsiveness to the industry and idiosyncratic components of earnings surprise, and reduced post-earnings announcement drift. Conversely, broad-based ETFs are associated with decreased ERCs and lower responsiveness to industry and idiosyncratic information. Follower firms in sector ETFs show stronger reactions and weaker reversals when leader firms in the same ETFs release earnings, while follower firms in broad-based ETFs show weaker reactions and greater reversals. Overall, sector ETFs have improved informational efficiency by facilitating information transfer, while broad ETFs might have worsened informational efficiency in the context of earnings announcements. Keywords: ETF; Information transfer; Post earnings announcement drift; Sector ETF (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jaecon:v:70:y:2020:i:2:s0165410120300380 DOI: 10.1016/j.jacceco.2020.101336 Access Statistics for this article Journal of Accounting and Economics is currently edited by J. L. Zimmerman, S. P. Kothari, T. Z. Lys and R. L. Watts More articles in Journal of Accounting and Economics from Elsevier |
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