| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16909 |
| DP16909 Benchmarking Intensity | |
| Anna Pavlova; Taisiya Sikorskaya | |
| 发表日期 | 2022-01-16 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | Benchmarking incentivizes fund managers to invest a fraction of their funds’ assets in their benchmark indices, and such demand is inelastic. We construct a measure of inelastic demand a stock attracts, benchmarking intensity (BMI), computed as its cumulative weight in all benchmarks, weighted by assets following each benchmark. Exploiting the Russell 1000/2000 cutoff, we show that changes in stocks’ BMIs instrument for changes in ownership of benchmarked investors. The resulting demand elasticities are low. We document that both active and passive fund managers buy additions to their benchmarks and sell deletions. Finally, an increase in BMI lowers future stock returns. |
| 主题 | Financial Economics |
| 关键词 | Benchmark Preferred habitat Index effect Demand elasticity Mutual funds Russell cutoff |
| URL | https://cepr.org/publications/dp16909 |
| 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/545840 |
| 推荐引用方式 GB/T 7714 | Anna Pavlova,Taisiya Sikorskaya. DP16909 Benchmarking Intensity. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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