Skip to Main Content
HBS Home
  • About
  • Academic Programs
  • Alumni
  • Faculty & Research
  • Baker Library
  • Giving
  • Harvard Business Review
  • Initiatives
  • News
  • Recruit
  • Map / Directions
Faculty & Research
  • Faculty
  • Research
  • Featured Topics
  • Academic Units
  • …→
  • Harvard Business School→
  • Faculty & Research→
Publications
Publications
  • January 2021
  • Article
  • Management Science

ETF Activity and Informational Efficiency of Underlying Securities

By: Lawrence Glosten, Suresh Nallareddy and Yuan Zou
  • Format:Print
ShareBar

Abstract

This paper investigates the effect of exchange-traded funds’ (ETFs’) activity on the short-run informational efficiency of their underlying securities. We find that ETF activity increases short-run informational efficiency for stocks with weak information environments. The increase in informational efficiency results from the timely incorporation of systematic earnings information. In contrast, we find no such effect for stocks with stronger information environments. ETF activity increases return comovement, and this increase is partly attributable to the timely incorporation of systematic earnings information. Further, ETF activity is associated with an attenuation of postearnings-announcement drift and an increase in active share lending.

Keywords

ETF; Informational Efficiency; Co-movement; Systematic Earnings; Share Lending

Citation

Glosten, Lawrence, Suresh Nallareddy, and Yuan Zou. "ETF Activity and Informational Efficiency of Underlying Securities." Management Science 67, no. 1 (January 2021): 22–47.
  • Find it at Harvard

About The Author

Yuan Zou

Accounting and Management
→More Publications

More from the Authors

    • 2022
    • Faculty Research

    Communicating Corporate Culture in Labor Markets: Evidence from Job Postings

    By: Joseph Pacelli, Tianshuo Shi and Yuan Zou
    • 2022
    • Faculty Research

    Passing the Mic: Career and Firm Outcomes of Executive Interactions

    By: Wei Cai, Ethan Rouen and Yuan Zou
    • 2021
    • Faculty Research

    Public Disclosure of Private Meetings: Does Observing Peers' Information Acquisition Affect Analysts' Attention Allocation?

    By: Yi Ru, Ronghuo Zheng and Yuan Zou
More from the Authors
  • Communicating Corporate Culture in Labor Markets: Evidence from Job Postings By: Joseph Pacelli, Tianshuo Shi and Yuan Zou
  • Passing the Mic: Career and Firm Outcomes of Executive Interactions By: Wei Cai, Ethan Rouen and Yuan Zou
  • Public Disclosure of Private Meetings: Does Observing Peers' Information Acquisition Affect Analysts' Attention Allocation? By: Yi Ru, Ronghuo Zheng and Yuan Zou
ǁ
Campus Map
Harvard Business School
Soldiers Field
Boston, MA 02163
→Map & Directions
→More Contact Information
  • Make a Gift
  • Site Map
  • Jobs
  • Harvard University
  • Trademarks
  • Policies
  • Accessibility
  • Digital Accessibility
Copyright © President & Fellows of Harvard College