Innovation and Informed Trading: Evidence from Industry ETFs
研究行业ETF对知情交易和市场效率的影响，发现行业ETF的空头兴趣与对冲基金持仓同步增加，且行业ETF降低了盈余公告后的漂移，提高了市场效率。
Abstract We empirically examine the impact of industry exchange-traded funds (IETFs) on informed trading and market efficiency. We find that IETF short interest spikes simultaneously with hedge fund holdings on the member stock before positive earnings surprises, reflecting long-the-stock/short-the-ETF activity. This pattern is stronger among stocks with high industry risk exposure. A difference-in-difference analysis on the ETF inception event shows that IETFs reduce post-earnings-announcement drift more among stocks with high industry risk exposure, suggesting that IETFs improve market efficiency. We also find that the short interest ratio of IETFs positively predicts IETF returns, consistent with the hedging role of IETFs.