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Lost in the Rising Tide: Exchange-Tr...

Zou, Yuan.

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Lost in the Rising Tide: Exchange-Traded Fund Flows and Valuation.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Lost in the Rising Tide: Exchange-Traded Fund Flows and Valuation./
Author:	Zou, Yuan.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2019,
Description:	76 p.
Notes:	Source: Dissertations Abstracts International, Volume: 80-11, Section: A.
Contained By:	Dissertations Abstracts International80-11A.
Subject:	Accounting. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=13862674
ISBN:	9781392095584

Lost in the Rising Tide: Exchange-Traded Fund Flows and Valuation.
Zou, Yuan.

Lost in the Rising Tide: Exchange-Traded Fund Flows and Valuation. - Ann Arbor : ProQuest Dissertations & Theses, 2019 - 76 p.

Source: Dissertations Abstracts International, Volume: 80-11, Section: A.

Thesis (Ph.D.)--Columbia University, 2019.

This item must not be sold to any third party vendors.

The last decade has witnessed a dramatic growth in passive investing via exchange-traded funds (ETFs). To the extent that the demand for stocks via ETF flows is not related to firm-specific fundamental values, large ETF flows may push the price of the underlying stocks away from their fundamentals-based value. In this study I provide evidence consistent with this conjecture. In particular, I first document a positive association between ETF flows and the price-to-fundamentals relation of underlying stocks. Then, by using BlackRock's expansion into the ETF business as an exogenous shock, I provide evidence that the association is likely to be causal rather than reflect some form of endogeneity (i.e., ETFs selecting certain stocks). Also, I find that high-flow firms subsequently underperform low-flow firms in operating and stock performance, consistent with the misvaluation being caused by non-fundamental demand shocks. Cross-sectional tests suggest that the ETF-related misvaluation is stronger for stocks with: a less competitive equity market (i.e., with prices more sensitive to demand shocks), lower ownership by active investors, and more costly arbitrage constraints. Finally, I find that high-flow firms exhibit behavior typically associated with perceived overvaluation (e.g., more secondary equity offerings).

ISBN: 9781392095584Subjects--Topical Terms:

557516
Accounting.

Lost in the Rising Tide: Exchange-Traded Fund Flows and Valuation.
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245 1 0 $a Lost in the Rising Tide: Exchange-Traded Fund Flows and Valuation.
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300 $a 76 p.
500 $a Source: Dissertations Abstracts International, Volume: 80-11, Section: A.
500 $a Publisher info.: Dissertation/Thesis.
500 $a Advisor: Penman, Stephen Harland.
502 $a Thesis (Ph.D.)--Columbia University, 2019.
506 $a This item must not be sold to any third party vendors.
520 $a The last decade has witnessed a dramatic growth in passive investing via exchange-traded funds (ETFs). To the extent that the demand for stocks via ETF flows is not related to firm-specific fundamental values, large ETF flows may push the price of the underlying stocks away from their fundamentals-based value. In this study I provide evidence consistent with this conjecture. In particular, I first document a positive association between ETF flows and the price-to-fundamentals relation of underlying stocks. Then, by using BlackRock's expansion into the ETF business as an exogenous shock, I provide evidence that the association is likely to be causal rather than reflect some form of endogeneity (i.e., ETFs selecting certain stocks). Also, I find that high-flow firms subsequently underperform low-flow firms in operating and stock performance, consistent with the misvaluation being caused by non-fundamental demand shocks. Cross-sectional tests suggest that the ETF-related misvaluation is stronger for stocks with: a less competitive equity market (i.e., with prices more sensitive to demand shocks), lower ownership by active investors, and more costly arbitrage constraints. Finally, I find that high-flow firms exhibit behavior typically associated with perceived overvaluation (e.g., more secondary equity offerings).
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