| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15563 |
| DP15563 Tracking Biased Weights: Asset Pricing Implications of Value-Weighted Indexing | |
| Hao Jiang; Dimitri Vayanos; Lu Zheng | |
| 发表日期 | 2020-12-16 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We show theoretically and empirically that flows into index funds raise the prices of large stocks in the index disproportionately more than the prices of small stocks. Conversely, flows predict a high future return of the small-minus-large index portfolio. This finding runs counter to the CAPM, and arises when noise traders distort prices, biasing index weights. When funds tracking value-weighted indices experience inflows, they buy mainly stocks in high noise-trader demand, exacerbating the distortion. During our sample period 2000-2019, a small-minus-large portfolio of S&P500 stocks earns ten percent per year, while no size effect exists for non-index stocks. |
| 主题 | Financial Economics |
| 关键词 | Market efficiency Mutual funds Indexing Limits of arbitrage |
| URL | https://cepr.org/publications/dp15563 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/544569 |
| 推荐引用方式 GB/T 7714 | Hao Jiang,Dimitri Vayanos,Lu Zheng. DP15563 Tracking Biased Weights: Asset Pricing Implications of Value-Weighted Indexing. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
