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

页数：33

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