Asset pricing with index investing

Book, Preprint OPEN
Georgy Chabakauri; Oleg Rytchkov;
  • Publisher: Social Science Research Network (SSRN)
  • Subject: HG Finance | asset pricing; indexing; heterogeneous investors; Lucas trees
    • jel: jel:D52 | jel:G12

We provide a novel theoretical analysis of how index investing affects capital market equilibrium. We consider a dynamic exchange economy with heterogeneous investors and two Lucas trees and find that indexing can either increase or decrease the correlation between stoc... View more
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