全球智库信息集成服务系统(G2TT): The Mysterious Growing Value of S&P 500 Membership

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w8654
来源ID	Working Paper 8654
	The Mysterious Growing Value of S&P 500 Membership
	Randall Morck; Fan Yang
发表日期	2001-12-13
出版年	2001
语种	英语
摘要	The efficient markets hypothesis implies that passive indexing should generate as high a return as active fund management. Indexing has been a very successful strategy. We document a large value premium in the average q ratios of firms in the S&P 500 index relative to the q ratios of other similar firms that appears in the mid 1980s and grows in step with the growth of indexing. Passive investment strategies that require the purchase of the particular 500 stocks in this index increase demand for those stocks and so push up their prices. In short, indexing induces downward sloping demand curves for stocks in the index. For reasons that are not fully clear, arbitrageurs apparently do not correct this overvaluation.
主题	Financial Economics
URL	https://www.nber.org/papers/w8654
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/566261
推荐引用方式 GB/T 7714	Randall Morck,Fan Yang. The Mysterious Growing Value of S&P 500 Membership. 2001.