Innovation and Informed Trading: Evidence from Industry ETFs

 
UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Discipline Group 
Research Seminars in Finance
 
Topic: Innovation and Informed Trading: Evidence from Industry ETFs
 
Speaker: Maureen O’Hara, Cornell/UTS
 
Abstract:      
We hypothesize that industry exchange traded funds (ETFs) encourage informed trading on underlying firms through facilitating the hedge of industry-specific risks. We find that the industry ETF membership increases hedge funds’ abnormal holdings before earnings announcements and reduces the market reaction to the firm’s earnings surprise, especially the positive surprise. In addition, we show that short interest on industry ETFs positively predicts returns on these ETFs and the percentage of positive earnings announcements of underlying firms. Our results suggest that financial innovations such as industry ETFs can be beneficial for informational efficiency if they help investors to hedge risks.
 
A light lunch will be provided at 1p.m. Please RSVP for catering purposes to Mala Kapahi by 12 noon on Monday 26th March 2018.
 
Date: Wednesday, 28th March 2018     
Time: 12.00 – 1.00 p.m.
Venue: University of Technology, Sydney
             Building 8, Room 8.002, Dr Chau Chak Wing Building
             Dr Chau Chak Wing Building
            14 - 28 Ultimo Road, Ultimo
 
Co-ordinator: Kris Glover  (Ph: +61 2 9514 7778)
 
Enquiries: Mala Kapahi (Ph: +61 2 9514 7777
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Acknowledgement of Country

UTS acknowledges the Gadigal people of the Eora Nation, the Boorooberongal people of the Dharug Nation, the Bidiagal people and the Gamaygal people, upon whose ancestral lands our university stands. We would also like to pay respect to the Elders both past and present, acknowledging them as the traditional custodians of knowledge for these lands.