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Index Funds, Asset Prices, and the Welfare of Investors

Schmalz, Martin C.; Zame, William R. - 2023

We present a general equilibrium model in which heterogeneous investors choose among bonds, stocks, and an Index Fund holding the market portfolio. We show that, under standard assumptions, an equilibrium exists. We then derive predictions for equilibrium asset prices, investor behavior, and...

Persistent link: https://www.econbiz.de/10014255122

Investor attention and exchange traded fund returns in South Africa : the role of investors' internet search activity

Kunjal, Damien - In: Financial studies 27 (2023) 3, pp. 40-56

In recent years, exchange-traded fund (ETF) markets have grown exponentially due to their rising popularity amongst … of ETF markets remains understudied. Therefore, the objective of this study is to explore the effect of investor … attention has a negative effect on ETF returns in line with the Investor Recognition Hypothesis. However, further analysis …

Persistent link: https://www.econbiz.de/10014506650

Does joining the S&P 500 index hurt firms?

Bennett, Benjamin; Stulz, René M.; Wang, Zexi - 2020

We investigate the impact on firms of joining the S&P 500 index from 1997 to 2017. We find that the positive announcement effect on the stock price of index inclusion has disappeared and the long-run impact of index inclusion has become negative. Inclusion worsens stock price informativeness and...

Persistent link: https://www.econbiz.de/10012263191

Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices

Buffa, Andrea M - 2018

benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate … across assets. Fluctuations in asset managers' capital invested for benchmarking purposes, scaled by the size of the economy … these benchmarking-induced spillovers by analyzing shock elasticities and cross-elasticities of price-dividend ratios, and …

Persistent link: https://www.econbiz.de/10012910534

Investor PSY-chology Surrounding 'Gangnam Style'

Kim, Y. Han (Andy) - 2017

The global success of the song, “Gangnam Style”, by the Korean rapper PSY in 2012, was an exogenous shock to investor enthusiasm for DI Corp., a Korean semiconductor manufacturer. Although DI Corp.'s business is not related to the entertainment industry, its co-CEO is the father of PSY....

Persistent link: https://www.econbiz.de/10012974176

Can ETFs afect U.S. fnancial stability? : A quantile cointegration analysis

Laborda, Juan; Laborda, Ricardo; Cruz, Javier de la - In: Financial innovation : FIN 10 (2024), pp. 1-24

This study evaluates whether exchange traded funds (ETFs) threaten fnancial market stability by testing two hypotheses relating the growing importance of ETFs to increased market volatility and rising equity valuations. We estimate quantile cointegration models using Standard & Poor's 500 Index...

Persistent link: https://www.econbiz.de/10014540299

Unveiling outperformance : a portfolio analysis of top ai-related stocks against IT indices and robotics ETFs

Karoui, Ali Trabelsi; Sayari, Sonia; Dammak, Wael; … - In: Risks : open access journal 12 (2024) 3, pp. 1-21

In this study, we delve into the financial market to compare the performance of prominent AI and robotics-related stocks against traditional IT indices, such as the Nasdaq, and specialized AI and robotics ETFs. We evaluate the role of these stocks in diversifying portfolios, analyzing their...

Persistent link: https://www.econbiz.de/10014497423

Investor ESG Tastes and Asset Pricing

Wang, Liying; Wu, J. (Julie) - 2022

This study uses security-level investor demand and dynamic pricing information in the primary bond market to examine investor tastes for ESG assets and their pricing effects. We find that green bonds are significantly more oversubscribed than their conventional counterparts offered by the same...

Persistent link: https://www.econbiz.de/10013405355

Can Mutual Fund Managers Predict Security Prices to Beat the Market? The Case of Greece During the Debt Crisis

Koutsokostas, Drosos - 2019

The purpose of this paper is to examine the performance of Greek equity mutual funds, elaborating on stock selection in parallel with market timing measures, in comparison with the performance of ETFs and index funds for the period 01/24/2008-05/12/2017, and the short-term performance...

Persistent link: https://www.econbiz.de/10012891991

"Buy the rumor, sell the news" : liquidity provision by bond funds following corporate news events

Huang, Alan Guoming; Wermers, Russ; Xue, Jinming - 2023

Using a comprehensive database of corporate news, we find that bond funds trade against the direction of news sentiment. The trading against news phenomenon is concentrated in funds selling on positive news and in the post-financial crisis period when dealer liquidity provision is constrained....

Persistent link: https://www.econbiz.de/10014456062