Benchmarking Intensity

• 成果类型: Article
• 署名作者: Pavlova, Anna; Sikorskaya, Taisiya
• 署名单位: University of London; London Business School; Centre for Economic Policy Research - UK
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhac055
• 发表日期: 2023
• 页码: 859
• 关键词: DEMAND CURVES; INSTITUTIONAL OWNERSHIP; stocks; price; liquidity; DYNAMICS; MANAGER; term

摘要

Benchmarking incentivizes fund managers to invest a fraction of their funds' assets in their benchmark indexes, 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 resultant 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.