The equilibrium consequences of indexing
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چکیده
We study the consequences of indexing, i.e. commiting to invest in risky assets only via the market portfolio. We extend the canonical rational expectations model (Grossman and Stiglitz, 1980) to allow for multiple assets and endowment shocks, and show that indexing imposes a negative externality on other uninformed agents. More indexing makes informed trading on the market more profitable, which decreases welfare by distorting risk-sharing. JEL classification: D82, G14.
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