The Economic Impact of Index Investing

• 成果类型: Article
• 署名作者: Brogaard, Jonathan; Ringgenberg, Matthew C.; Sovich, David
• 署名单位: Utah System of Higher Education; University of Utah; Washington University (WUSTL)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy129
• 发表日期: 2019
• 页码: 3461
• 关键词: stock-prices; INVESTMENT SENSITIVITY; financialization; EFFICIENCY; MARKETS; speculators; INFORMATION; frictions; feedback

摘要

We study the impact of index investing on firm performance by examining the link between commodity indices and firms that use index commodities. Around 2004, commodity index investing dramatically increased. This event is referred to as the financialization of commodity markets. Following financialization, firms that use index commodities make worse production decisions, earn 40% lower profits, and have 6% higher costs. Consistent with a feedback channel in which market participants learn from prices, our results suggest that index investing distorts the price signal, thereby generating a negative externality that impedes firms' ability to make production decisions.