Inattentive price discovery in ETFs
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985998%3A_____%2F22%3A00563022" target="_blank" >RIV/67985998:_____/22:00563022 - isvavai.cz</a>
Result on the web
<a href="https://www.cerge-ei.cz/pdf/wp/Wp735.pdf" target="_blank" >https://www.cerge-ei.cz/pdf/wp/Wp735.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Inattentive price discovery in ETFs
Original language description
This paper studies the information choice of exchange-traded funds (ETF) investors, and its impact on the price efficiency of underlying stocks. First, we show that the learning of stock-specific information can occur at the ETF level. Our results suggest that ETF investors respond endogenously to changes in the fundamental value of underlying stocks, in line with the rational inattention theory. Second, we provide evidence that ETFs facilitate propagation of idiosyncratic shocks across its constituents.
Czech name
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Czech description
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Classification
Type
O - Miscellaneous
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů