To analyze the relationship between ETFs and underlying stocks, we first compare churn ratio and frequency of position changes for each investor. Higher churn ratio and low frequency of position changes in ETFs support that more directional trades are executed in ETFs than in stocks, thus less mispricing events. Although, from panel OLS, ETF ownership has a statistically significant negative link with stock volatility, anomalies from a long-short portfolio do not retain statistical significance when SMB factor is introduced in the regression. With further analysis as to underlying stocks of ETFs, we find a serial correlation (0.2645) between ETF ownership and stock market capitalization after removing outliers. After the point where this correlation is dramatically increased, Fama French five factors explains about 46% of variation in returns of the long-short portfolio.