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ETFs and information acquisition

Falkovich, Katsiaryna
Master thesis
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masterthesis.pdf (495.8Kb)
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https://hdl.handle.net/11250/2772160
Utgivelsesdato
2021
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  • Master Thesis [4657]
Sammendrag
I examine how exchange-traded funds (ETFs) affect incentives to produce information

about individual securities. Due to their low trading costs, ETFs can be used to trade on

information about less liquid and more constrained stocks that have large weights in the

ETF. Using introductions of options on sector ETFs as events that reduce costs of trading

on private information, I find that small stocks with large ETF-weight experience an

increase in price informativeness compared to similar low ETF-weight stocks. In contrast,

I do not find such an effect for large stocks. I conclude that by providing a cheaper way

to trade on stock-specific information, ETFs facilitate information acquisition about large

ETF-weight stocks, leading to more informative prices.

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