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The active world of passive investing
Easley, David; Michayluk, David; O'Hara, Maureen; … - In: Review of finance : journal of the European Finance … 25 (2021) 5, pp. 1433-1471
Persistent link: https://www.econbiz.de/10012655107
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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
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From performativity to political economy : index investing, ETFs and asset manager capitalism
Braun, Benjamin - In: New political economy 21 (2016) 3, pp. 257-273
Persistent link: https://www.econbiz.de/10011478835
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Why are "true" active managers essential for markets?
Galakis, John - In: International journal of portfolio analysis and … 2 (2021) 3, pp. 199-223
Persistent link: https://www.econbiz.de/10012595945
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Indexing and active fund management : international evidence
Cremers, Martijn; Ferreira, Miguel A.; Matos, Pedro; … - In: Journal of financial economics 120 (2016) 3, pp. 539-560
Persistent link: https://www.econbiz.de/10011590253
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The Impact of Passive Investing on Corporate Valuations
Belasco, Eric - 2011
Over the past 20 years, a trend toward index fund investing has emerged. Currently, more mutual fund assets are indexed to the S&P 500 than any other index. Prior research on downward-sloping demand curves suggests that widespread acceptance of S&P 500 index investing may push prices of...
Persistent link: https://www.econbiz.de/10013129194
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Do ETFs increase the commonality in liquidity of underlying stocks?
Agarwal, Vikas; Hanouna, Paul; Moussawi, Rabih; Stahel, … - 2021
We examine the impact of ETF ownership on the commonality in liquidity of underlying stocks, while controlling for … other institutional ownership. Analyses using aggregate stock-level ETF ownership and common ETF ownership at the stock …-pair level indicate that ETF ownership significantly increases commonality. We show that greater arbitrage activities are …
Persistent link: https://www.econbiz.de/10012490478
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When Should Investors Choose an Alternative to Passively Investing in a Capitalization-Weighted Index?
Ezra, Don - 2017
We present a framework for deciding when to choose an alternative to passively investing in capitalization-weighted indices within any particular asset class. Five reasons are identified for seeking an alternative. Three of these reflect situations where a capitalization-weighted index is either...
Persistent link: https://www.econbiz.de/10012976468
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Return differences between DAX ETFs and the benchmark DAX
Schmidhammer, Christoph - 2021
For the DAX index market, this paper analyses the development of return differences between exchange traded funds (ETFs) and the DAX index from the perspective of long-term investors. The newly introduced methodology provides the opportunity to continuously identify long-term costs of passively...
Persistent link: https://www.econbiz.de/10012607112
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Asset Management and Industry Index Portfolios : Momentum and Reversal Abnormal Returns
Toscano, Mario - 2009
This paper shed light to the existence of momentum and reversal patterns in the 18 industry indexes of DJ Euro Stoxx. The analysis is focus on European market and test a presence structural break in year 2000 (financial services and markets act). We made an analysis of five portfolios over eight...
Persistent link: https://www.econbiz.de/10013153008