G2TT
来源类型Discussion paper
规范类型论文
来源IDDP15563
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
URLhttps://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.
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