On index investing

• 成果类型: Article
• 署名作者: Coles, Jeffrey L.; Heath, Davidson; Ringgenberg, Matthew C.
• 署名单位: Utah System of Higher Education; University of Utah
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2022.05.007
• 发表日期: 2022
• 页码: 665-683
• 关键词: Index investing; Information production; market efficiency; Passive investing

摘要

We empirically examine the effects of index investing using predictions derived from a Grossman-Stiglitz framework. An exogenous increase in index investing leads to lower in-formation production as measured by Google searches, EDGAR views, and analyst reports, yet price informativeness remains unchanged. These findings are consistent with an equi-librium in which investors choose to gather private information whenever it is profitable. As index investing increases, there are fewer privately-informed active investors (so overall information production drops), but the mix of investors adjusts until the returns to active investing are unchanged. As a result, passive investing does not undermine price efficiency.(c) 2022 Elsevier B.V. All rights reserved.