被动所有权份额是你想象的两倍

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2024-05-21 DOI:10.1016/j.jfineco.2024.103860

Alex Chinco , Marco Sammon

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引用次数: 0

摘要

每当一只股票被纳入指数或从指数中剔除时，我们都会问："必须有多少资金在跟踪该指数，才能解释我们在重组日观察到的重新平衡交易量的大幅飙升？2021 年，指数基金持有美国股市 16% 的份额，而我们认为整体被动持有份额为 33.5%。我们的标题数字是这一数字的两倍，因为它反映了指数基金以及其他类型的被动投资者，例如拥有内部管理的指数投资组合的机构投资者和封闭式指数化的主动经理人。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The passive ownership share is double what you think it is

Each time a stock gets added to or dropped from an index, we ask: “How much money would have to be tracking that index to explain the huge spike in rebalancing volume we observe on reconstitution day?” While index funds held $16 %$ of the US stock market in 2021, we put the overall passive ownership share at $33.5 %$ . Our headline number is twice as large because it reflects index funds as well as other kinds of passive investors, such as institutional investors with internally managed index portfolios and active managers who are closet indexing.

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来源期刊

Journal of Financial Economics Multiple-

CiteScore

15.80

自引率

4.50%

发文量

192

审稿时长

37 days

期刊介绍： The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.