Exchange-Traded Funds and Real Investment
研究发现，ETF持股比例越高，企业实际投资对托宾q的敏感性越强，股票回报预测未来盈利的能力也越强，表明ETF通过促进信息流动提升了投资效率。
Abstract We investigate the link between exchange-traded funds and real investment. Cross-sectionally, higher ETF ownership is associated with an increased sensitivity of real investment to Tobin’s q and a heightened ability of stock returns to forecast future earnings. Inclusion of stocks in industry ETFs enhances investment-$q$ sensitivity and implies greater incorporation of earnings information into prices prior to public releases. Greater nonmarket ETF ownership leads to increased (reduced) reliance of real investment on own (peers’) stock prices. Overall, the evidence is consistent with ETFs positively affecting real investment efficiency via greater flows of information. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online