Does Exchange-traded Fund Ownership Affect a Firm's Expected Crash Risk?

被引：0
作者：
Chowdhury, Hasibul [1 ]
Lin, Beiqi [1 ]
Mei, Shunji [2 ,3 ]
Tan, Kelvin Jui Keng [1 ]
Zhang, Lei [4 ]
机构：
[1] Univ Queensland, UQ Business Sch, Brisbane, Australia
[2] Univ Adelaide, Adelaide Business Sch, Adelaide, Australia
[3] Univ Auckland, Business Sch, Auckland, New Zealand
[4] City Univ Hong Kong, Coll Business, Hong Kong, Peoples R China
来源：
EUROPEAN ACCOUNTING REVIEW | 2024年
关键词：
CORPORATE SOCIAL-RESPONSIBILITY; STOCK; VOLATILITY; OPTIONS; DIRECTORS; SKEWNESS; RETURNS; BUSY;
D O I：
10.1080/09638180.2024.2368129
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页数：33
相关论文
共 69 条
  • [1] Agarwal V., 2018, 5 ANN C FIN MARK REG
  • [2] Illiquidity and stock returns: cross-section and time-series effects
    Amihud, Y
    [J]. JOURNAL OF FINANCIAL MARKETS, 2002, 5 (01) : 31 - 56
  • [3] Stock price synchronicity, crash risk, and institutional investors
    An, Heng
    Zhang, Ting
    [J]. JOURNAL OF CORPORATE FINANCE, 2013, 21 : 1 - 15
  • [4] Corporate Governance and Firm-specific Stock Price Crashes
    Andreou, Panayiotis C.
    Antoniou, Constantinos
    Horton, Joanne
    Louca, Christodoulos
    [J]. EUROPEAN FINANCIAL MANAGEMENT, 2016, 22 (05) : 916 - 956
  • [5] THE CRASH OF 87 - WAS IT EXPECTED - THE EVIDENCE FROM OPTIONS MARKETS
    BATES, DS
    [J]. JOURNAL OF FINANCE, 1991, 46 (03) : 1009 - 1044
  • [6] The Importance of IRS Enforcement to Stock Price Crash Risk: The Role of CEO Power and Incentives
    Bauer, Andrew M.
    Fang, Xiaohua
    Pittman, Jeffrey A.
    [J]. ACCOUNTING REVIEW, 2021, 96 (04) : 81 - 109
  • [7] What Matters in Corporate Governance?
    Bebchuk, Lucian
    Cohen, Alma
    Ferrell, Allen
    [J]. REVIEW OF FINANCIAL STUDIES, 2009, 22 (02) : 783 - 827
  • [8] Do ETFs Increase Volatility?
    Ben-David, Itzhak
    Franzoni, Francesco
    Moussawi, Rabih
    [J]. JOURNAL OF FINANCE, 2018, 73 (06) : 2471 - 2535
  • [9] Bhattacharya A., 2018, Can ETFs Increase Market Fragility? Effect of Information Linkages in ETF Markets
  • [10] ETFs and information transfer across firms
    Bhojraj, Sanjeev
    Mohanram, Partha
    Zhang, Suning
    [J]. JOURNAL OF ACCOUNTING & ECONOMICS, 2020, 70 (2-3)
1234567