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Innovation and Informed Trading: Evidence from Industry ETFs
[Short interest, institutional ownership, and stock returns]

Citations

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Cited by:

  1. Yaping Zhou & Xundi Diao & Dayong Lv, 2023. "Role of OTC options in stock price efficiency: Evidence from the Chinese market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(4), pages 4629-4655, December.
  2. Yuan Fu & Christine Jiang, 2023. "The effect of liquidity and arbitrage on the price efficiency of Chinese ETFs," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(4), pages 1103-1140, December.
  3. Chiu, Junmao & Lien, Donald & Tsai, Wei-Che, 2023. "Global financial crisis, funding constraints, and liquidity of VIX futures," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
  4. Heusel, Nicola & Mager, Ferdinand, 2023. "Pension funding and the cross section of stock returns - The case of Germany," Journal of Banking & Finance, Elsevier, vol. 150(C).
  5. An, Yu & Benetton, Matteo & Song, Yang, 2023. "Index providers: Whales behind the scenes of ETFs," Journal of Financial Economics, Elsevier, vol. 149(3), pages 407-433.
  6. Duffy, John & Friedman, Dan & Rabanal, Jean Paul & Rud, Olga, 2022. "The impact of ETF index inclusion on stock prices," UiS Working Papers in Economics and Finance 2022/2, University of Stavanger.
  7. Wu, Weili & Zhu, Feifei, 2023. "ETF ownership and informational efficiency of underlying stocks: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  8. Yuan, Ying & Huang, Yizhao & Chen, Haoran, 2021. "Monthly-rebalanced leveraged exchange-traded products: Performance and mandatory rebalancing needs," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  9. Li, Li & Huang, Shiyang & Lou, Dong & Shi, Jiahong, 2021. "Why don't most mutual funds short sell?," LSE Research Online Documents on Economics 118854, London School of Economics and Political Science, LSE Library.
  10. Girish Joshi & Ranjan Kumar Dash, 2024. "Exchange-traded funds and the future of passive investments: a bibliometric review and future research agenda," Future Business Journal, Springer, vol. 10(1), pages 1-21, December.
  11. Hsiu‐Lang Chen, 2024. "Active mutual funds and their passive ETF investments," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 47(2), pages 367-399, June.
  12. Chinco, Alex & Sammon, Marco, 2024. "The passive ownership share is double what you think it is," Journal of Financial Economics, Elsevier, vol. 157(C).
  13. Marta, Thomas & Riva, Fabrice, 2025. "Do ETFs increase the comovements of their underlying assets? Evidence from a switch in ETF replication technique," Journal of Banking & Finance, Elsevier, vol. 170(C).
  14. Bohl, Martin T. & Irwin, Scott H. & Pütz, Alexander & Sulewski, Christoph, 2023. "The impact of financialization on the efficiency of commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 31(C).
  15. Duanmu, Jun & Hur, Jungshik & Li, Yongjia, 2024. "Diversification and idiosyncratic volatility puzzle: Evidence from ETFs," Research in International Business and Finance, Elsevier, vol. 71(C).
  16. Duffy, John & Rabanal, Jean Paul & Rud, Olga A., 2021. "The impact of ETFs in secondary asset markets: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 674-696.
  17. Zhou, Dong-hai & Liu, Xiao-xing, 2024. "Does systemic risk in the fund markets predict future economic downturns?," International Review of Financial Analysis, Elsevier, vol. 92(C).
  18. Ning, Wei & Zhao, Jiahua & Jiang, Fuwei, 2024. "ETFs and tail dependence: Evidence from Chinese stock market," Journal of International Money and Finance, Elsevier, vol. 149(C).
  19. Salil Gadgil, 2024. "Do Credit Default Swaps Still Lead? The Effects of Regulation on Price Discovery," Working Papers 24-04, Office of Financial Research, US Department of the Treasury.
  20. Russell Lundholm & Xin Zheng, 2025. "The changing nature of financial analysis in the presence of ETFs," Review of Accounting Studies, Springer, vol. 30(1), pages 860-898, March.
  21. Ho, Steven Wei & Lauwers, Alexandre R., 2023. "Is There Smart Money? How Information in the Commodity Futures Market Is Priced into the Cross Section of Stock Returns with Delay," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 58(8), pages 3201-3230, December.
  22. Atilgan, Yigit & Demirtas, K. Ozgur & Gunaydin, A. Doruk & Oztekin, Mustafa, 2024. "Performance implications of hedging with industry ETFs," Global Finance Journal, Elsevier, vol. 61(C).
  23. In Ji Jang & Namho Kang, 2024. "ETF and corporate reporting," The Financial Review, Eastern Finance Association, vol. 59(2), pages 293-323, May.
  24. Kunal Saha & Vinodh Madhavan & G. R. Chandrashekhar, 2022. "Effect of COVID-19 on ETF and index efficiency: evidence from an entropy-based analysis," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(2), pages 347-359, April.
  25. Chen, Guanhua & Liu, Xiangli & Liu, Xiao & Zhao, Zhihua, 2024. "ETF ownership and stock pricing efficiency: The role of ETF arbitrage," Finance Research Letters, Elsevier, vol. 62(PA).
  26. Shen, Yiwen & Shi, Meiqi, 2024. "Intraday variation in cross-sectional stock comovement and impact of index-based strategies," Journal of Financial Markets, Elsevier, vol. 68(C).
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