Does Exchange-traded Fund Ownership Affect a Firm’s Expected Crash Risk?
研究发现交易所交易基金（ETF）持股比例越高，公司预期崩盘风险越大，原因是ETF增加了信息不透明度，导致管理层隐瞒负面消息。
We examine the effect of equity ownership by exchange-traded funds (ETFs) on the expected (ex ante) crash risk of the underlying securities. We observe a positive relationship between ETF ownership and the firm’s expected crash risk. Our findings suggest that ETFs increase information opacity, leading managers to withhold negative news, which in turn amplifies the anticipated crash risk. We demonstrate a positive causal relationship between ETFs and expected crash risk by using the Russell 1000/2000 index reconstitution as an instrument for ETF ownership and ETF initiation as staggered exogenous shocks on ETF ownership. Moreover, this association becomes more noticeable when ETF ownership is broader, the ETF is larger, and the company’s information environment is more opaque.