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Indexing and Stock Price Efficiency

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dc.contributor.authorQin, Nanen
dc.contributor.authorSingal, Vijayen
dc.date.accessioned2024-05-22T12:33:19Zen
dc.date.available2024-05-22T12:33:19Zen
dc.date.issued2015-07-28en
dc.description.abstractIndexing has experienced substantial growth over the last two decades because it is an effective way of holding a diversified portfolio while minimizing trading costs and taxes. In this article, we focus on one negative externality of indexing: the effect on the efficiency of stock prices. Based on a sample of large and liquid US stocks, we find that greater indexing leads to less efficient stock prices, as indicated by stronger postā€earningsā€announcement drift and greater deviations of stock prices from the random walk. We conjecture that reduced incentives for information acquisition and arbitrage induced by indexing and passive trading are probably the main causes for degradation in price efficiency.en
dc.description.notesSource info: Financial Management, Vol. 44, Issue 4, 875-904, 2015en
dc.description.versionAccepted versionen
dc.format.extentPages 875-904en
dc.format.extent30 page(s)en
dc.identifier.doihttps://doi.org/10.1111/fima.12102en
dc.identifier.eissn1755-053Xen
dc.identifier.issn0046-3892en
dc.identifier.issue4en
dc.identifier.orcidSingal, Vijay [0000-0002-8140-6007]en
dc.identifier.urihttps://hdl.handle.net/10919/119053en
dc.identifier.volume44en
dc.language.isoenen
dc.publisherWileyen
dc.relation.urihttp://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000363452900006&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=930d57c9ac61a043676db62af60056c1en
dc.rightsIn Copyrighten
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/en
dc.subjectindexingen
dc.subjectindex fundsen
dc.subjectETFsen
dc.subjectpassive institutional investorsen
dc.subjectstock price efficiencyen
dc.subjectpassive tradingen
dc.titleIndexing and Stock Price Efficiencyen
dc.title.serialFinancial Managementen
dc.typeArticle - Refereeden
dc.type.dcmitypeTexten
dc.type.otherArticleen
dc.type.otherJournalen
pubs.organisational-group/Virginia Techen
pubs.organisational-group/Virginia Tech/Pamplin College of Businessen
pubs.organisational-group/Virginia Tech/Pamplin College of Business/Finance, Insurance, and Business Lawen
pubs.organisational-group/Virginia Tech/All T&R Facultyen
pubs.organisational-group/Virginia Tech/Pamplin College of Business/PCOB T&R Facultyen

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