ETF Ownership and Corporate Investment

Antoniou, Constantinos; Subrahmanyam, Avanidhar; Tosun, Onur Kemal

doi:10.2139/ssrn.3184949

Cited by 2 publications

(2 citation statements)

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“…Edmans, Jayaraman and Schneemeier (2017) use the enactment of insider trading laws passed around the world as an exogenous shock to the incremental information in share prices, and find that investment-to-Q sensitivity increases after the 10 enactment of new insider trading rules. Conversely, Antoniou, Subrahmanyam, and Tosun (2018) find that firms with high ETF ownership experience a decrease in the investment-to-Q sensitivity, due to the noisy nature of ETF trading.…”

Section: Hypotheses Developmentmentioning

confidence: 68%

“…The literature shows that when price movement is noisy, investment sensitivity to stock prices weakens. Antoniou, Subrahmanyam, and Tosun (2018), for example, show that managers of firms with high ETF ownership rely less on stock prices due to noisy prices. Further, Lou and Wang (2018) study liquidity driven mutual fund trading as a source of noisy prices.…”

Section: Introductionmentioning

confidence: 99%

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Common ownership, price informativeness, and corporate investment

Jang

Kang

Yezegel

2022

Journal of Banking & Finance

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Using financial institution mergers as exogenous shocks to common ownership, we find that stock prices of commonly held firms incorporate future earnings news more efficiently and are less sensitive to noise traders. We identify two potential mechanisms: (1) information diffusion between connected firms, and (2) active trading by common owners. We find that the investment sensitivity to Tobin's Q for commonly held firms is higher, indicating that managers of such firms rely more on market prices for information. Our findings suggest that common ownership has a positive effect on information production and influences real corporate decision by improving price informativeness.

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Section: Hypotheses Developmentmentioning

confidence: 68%

Section: Introductionmentioning

confidence: 99%

Common ownership, price informativeness, and corporate investment

Jang

Kang

Yezegel

2022

Journal of Banking & Finance

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Liquidity provision in ETF markets: The basket and beyond

Calamia¹,

Deville²,

Riva³

2019

Finance

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Nous développons un modèle théorique accompagné d’une analyse empirique montrant que la liquidé (fourchette de prix affichée) d’un ETF est fortement déterminée par des variables capturant le risque lié à la position détenue par le teneur de marché. Nous considérons la stratégie optimale de celui-ci dans un contexte où il lui est possible de gérer son stock d’ETF à la fois sur le marché secondaire du produit et via le mécanisme de création/rachat. Ce faisant, le teneur de marché doit arbitrer entre d’une part une concession sur le prix auquel il négocie l’ETF, et d’autre part le coût d’illiquidité qu’il supporte sur les actifs constituant le panier répliqué en cas de création/rachat. Nous montrons que cette concession est cruciale pour expliquer les caractéristiques de l’offre de liquidité sur un ETF. L’étude empirique réalisée sur un large échantillon d’ETF européens confirme le rôle clef joué par les variables liées au risque de position. Nous montrons en outre que la liquidité d’un ETF n’est liée à celle des actifs du panier qu’il réplique que lorsque le risque de position des teneurs de marché ne peut pas être géré efficacement sur le marché secondaire de l’ETF.

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ETF Ownership and Corporate Investment

Cited by 2 publications

References 24 publications

Common ownership, price informativeness, and corporate investment

Common ownership, price informativeness, and corporate investment

Liquidity provision in ETF markets: The basket and beyond

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