This paper models the value of conducting financial statement analysis (FSA) in the presence of an electronically traded fund (ETF) that gives exposure to the firm’s systematic value. FSA is characterized as a costly process that yields a private signal about the idiosyncratic portion of a firm’s future payoffs. The value of this signal depends on how efficiently price transmits information to uninformed traders. A popular argument is that ETFs are attracting noise traders away from the underlying firm, making prices more informative and private information less valuable. While I find that prices are more informative after the introduction of an ETF, I show that this isn’t because of a change in the amount or location of noise trading. Holding noise trading constant, ETFs allow informed investors to hedge out exposure to the portion of firm value that they are uninformed about, which causes them to place larger bets on their private information. This is what causes firm prices to be more informative. The introduction of an ETF into an economy thus presents two competing forces on the value of conducting FSA. On the one hand, prices are more informative after the arrival of an ETF, making private information less valuable, but on the other, informed traders can use the ETF to hedge, making private information more valuable. I characterize how these forces trade off as a function of the exogenous noise in the economy. These results are unavailable in previous theoretical papers about ETFs, because they modeled investors as being risk neutral, thus eliminating their desire to hedge out uncertainty.

本文对存在电子交易基金（ETF）的情况下进行财务报表分析（FSA）的价值进行建模，该交易使公司的系统价值得以承担。FSA的特征是成本很高的过程，会产生有关公司未来收益的特殊部分的私人信号。该信号的值取决于价格如何有效地将信息传递给不知情的交易者。一个流行的论点是，ETF正在吸引噪声交易者远离标的公司，从而使价格更具参考价值，而私人信息的价值却降低了。尽管我发现引入ETF后价格更具参考价值，但我发现这并不是由于噪声交易量或交易地点的变化。保持噪声交易不变，ETF允许知情的投资者对冲他们不了解的公司价值部分的敞口，这使他们对自己的私人信息投入更大的赌注。这就是导致公司价格更具参考价值的原因。因此，将ETF引入经济体会为进行FSA的价值提供两种竞争力。一方面，价格在ETF到来之后更具参考价值，从而使私人信息的价值降低，但另一方面，知情交易者可以使用ETF进行套期保值，从而使私人信息更有价值。我描述了这些力量如何根据经济中的外部噪声进行权衡。这些结果在以前有关ETF的理论论文中无法获得，因为它们将投资者建模为风险中立的，从而消除了他们对冲不确定性的愿望。