Seminar Series

2022 - 2023

Speaker: Anna Calamia (TBS).

Title: “ETF characteristics and underlying stock price informativeness”

joint with Debrah Meloso (TBS).

Date: Thursday, November 10th at 12h30 (Paris Time).

Abstract: We construct a unique database of ETF ownership of 259 European stocks and use it to analyze the effect of ETF ownership on individual stock price informativeness. Price informativeness is measured with the contemporaneous earnings response coefficient, a measure of correlation between returns and end-of-period earnings. Consistent with previous findings, ETF ownership in our sample increases individual stock price efficiency. Differently from previous findings, in our sample idiosyncratic information of prices benefits most from increased ETF ownership, and this for stocks with relatively small market capitalization. Moreover, ETF characteristics, such as country of domicile or replication method, have an impact on the information incorporation by underlying stocks.

You are cordially invited to participate to the seminar, which will take place in Room 204, Bosco building. 

For more information, please contact: Pierre Mella-Barral p.mella-barral@tbs-education.fr