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 …

We empirically examine the effects of index investing using predictions derived from a
Grossman-Stiglitz framework. An exogenous increase in index investing leads to lower …

We identify a novel economic mechanism through which passive ownership positively
affects informational efficiency in the cross-section of firms. Passive investors' inelastic …

We study the equilibrium implications of a multi-asset economy in which asset managers
performance is tied to different benchmarks, reflecting heterogeneity in their investment …

Systematic, rules-based investment strategies are where academia and practice are
currently interacting strongly. My objective in this editorial is to offer some thoughts on …

We propose a two-country model with heterogeneous beliefs to understand dynamics of
nominal exchange rate. Facing a shock to monetary policy, disagreement between domestic …

We study how passive investing affects asset prices. Flows into passive funds raise
disproportionately the stock prices of the economy's largest firms—even when the indices …

The rise of stock indexing has raised concerns that index investing impedes arbitrage and
degrades price discovery. This article uses Russell's reconstitution to identify the causal …

FTSE/Russell reconstitutes its Russell 1000 and 2000 indexes on the last Friday of June
each year. While exchange-traded funds (ETF) linked to either index must rebalance on …

Ambiguity aversion alone does not explain the market nonparticipation puzzle. We show that
in a rational expectations equilibrium model with a fund offering the risk-adjusted market …