Original title: Inattentive price discovery in ETFs
Authors: Kosar, Mariia ; Mikhalishchev, Sergei
Document type: Research reports
Year: 2022
Language: eng
Series: CERGE-EI Working Paper Series, volume: 735
Abstract: 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.
Keywords: ETF; exchange-traded fund; price efficiency

Institution: Economics Institute AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: https://www.cerge-ei.cz/pdf/wp/Wp735.pdf
Original record: https://hdl.handle.net/11104/0335111

Permalink: http://www.nusl.cz/ntk/nusl-511338


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