{"title":"The passive ownership share is double what you think it is","authors":"Alex Chinco , Marco Sammon","doi":"10.1016/j.jfineco.2024.103860","DOIUrl":null,"url":null,"abstract":"<div><p>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 <span><math><mrow><mn>16</mn><mtext>%</mtext></mrow></math></span> of the US stock market in 2021, we put the overall passive ownership share at <span><math><mrow><mn>33</mn><mo>.</mo><mn>5</mn><mtext>%</mtext></mrow></math></span>. 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.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"157 ","pages":"Article 103860"},"PeriodicalIF":10.4000,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0304405X24000837","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
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 of the US stock market in 2021, we put the overall passive ownership share at . 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.
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.
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