| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28253 |
| 来源ID | Working Paper 28253 |
| Tracking Biased Weights: Asset Pricing Implications of Value-Weighted Indexing | |
| Hao Jiang; Dimitri Vayanos; Lu Zheng | |
| 发表日期 | 2020-12-28 |
| 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 ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w28253 |
| 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/585927 |
| 推荐引用方式 GB/T 7714 | Hao Jiang,Dimitri Vayanos,Lu Zheng. Tracking Biased Weights: Asset Pricing Implications of Value-Weighted Indexing. 2020. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w28253.pdf（674KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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