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On index investing
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DOI：10.1016/j.jfineco.2022.05.007.png)
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We empirically examine the effects of index investing using predictions derived from a Grossman-Stiglitz framework. An exogenous increase in index investing leads to lower in-formation production as measured by Google searches, EDGAR views, and analyst reports, yet price informativeness remains unchanged. These findings are consistent with an equi-librium in which investors choose to gather private information whenever it is profitable. As index investing increases, there are fewer privately-informed active investors (so overall information production drops), but the mix of investors adjusts until the returns to active investing are unchanged. As a result, passive investing does not undermine price efficiency.(c) 2022 Elsevier B.V. All rights reserved.
Keyword:
Index investing
Information production
Market efficiency
Passive investing
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12
论文数:
3.8K
被引数:
5.5W
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JOURNAL OF FINANCE
JOURNAL OF FINANCEIF9.5
PREAI
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