Bhojraj, Mohanram, and Zhang (2020) examine how the presence of different types of Exchange Traded Funds (ETFs) affects information transfer across firms. Using earnings announcements as an information event, the authors document that sector ETFs improve informational efficiency by better facilitating information transfer across firms. Furthermore, sector ETFs reduce post-earnings announcement drift. However, the findings using broad ETFs are mixed. In this discussion, I first place the paper within the broader literature that investigates the informational efficiency of stock prices. Second, I highlight the key insights and contributions of the paper. Third, I discuss empirical design issues and the interpretation of findings. Lastly, I suggest areas for future research.

Bhojraj，Mohanram和Zhang（2020）研究了不同类型的交易所买卖基金（ETF）的存在如何影响企业之间的信息转移。通过使用收益公告作为信息事件，作者证明了行业ETF通过更好地促进公司之间的信息传递来提高信息效率。此外，行业ETF减少了收益后公告的漂移。但是，使用广泛的ETF的研究结果参差不齐。在此讨论中，我首先将论文放在调查股票价格信息效率的广泛文献中。其次，我强调了论文的关键见解和贡献。第三，我讨论经验设计问题和发现的解释。最后，我建议未来的研究领域。