REVIEW OF ACCOUNTING STUDIES · Volume 22 · Issue 3 · SEP 2017

ETF基金持有量的增多是否具有负面效应？一个信息方面的观点

作者：Israeli Doron（Interdisciplinary Ctr IDC Herzliya）,

Lee CMC（Stanford University）,

Sridharan SA(Emory University)

摘要：本文验证了在ETF基金持有量增加的同时，是否伴随着标的资产定价效率的下降。本文的研究显示，ETF基金持有量的增加伴随着（1）更高的交易成本（买卖价差和市场流动性），（2）“股价同步性”的增加，（3）“未来盈利反应系数”的下降，（4）报道公司的分析师人数下降。综上所述，本文的发现支持了ETF基金持有量的增加将会导致更高的交易成本与更低的信息收益。这两者综合作用降低了标的公司证券价格的信息含量。

关键词：ETF基金，知情交易者和不知情交易者，交易成本，信息效率，定价效率

Is there a dark side to exchange traded funds? An information perspective

Israeli Doron（Interdisciplinary Ctr IDC Herzliya）,Lee CMC（Stanford University）, Sridharan SA(Emory University)

ABSTRACT

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 return synchronicity," (3) a decline in "future earnings response coefficients," and (4) a decline in the number of analysts covering the firm. Collectively, our findings support the view that increased ETF ownership can lead to higher trading costs and lower benefits from information acquisition. This combination results in less informative security prices for the underlying firms.

Keywords: Exchange traded funds (ETFs), Informed and unformed traders, Trading costs, Informational efficiency, Pricing efficiency

原文链接：

https://link.springer.com/article/10.1007%2Fs11142-017-9400-8

翻译：张展