Asset pricing with index investing
نویسندگان
چکیده
We theoretically analyze how index investing affects financial markets using a dynamic exchange economy with heterogeneous investors and two Lucas trees. identify effects of indexing: lockstep trading stocks increases market volatility stock return correlations but reduction in risk sharing decreases them. Overall, indexing has an ambiguous effect on the correlations. Also, investor’s welfare, by other partially offsets loss. When introduction opens for new investors, improved makes returns more volatile correlated.
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2021
ISSN: ['1879-2774', '0304-405X']
DOI: https://doi.org/10.1016/j.jfineco.2020.06.023