Indexing and Stock Price Efficiency

Qin Nan; Singal Vijay

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Indexing and Stock Price Efficiency

机译：指数编制和股票价格效率

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Indexing 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 post-earnings-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.

机译：在过去的二十年中，指数化经历了可观的增长，因为它是持有多元化投资组合同时又将交易成本和税费降至最低的有效途径。在本文中，我们集中于索引的一个负外部性：对股票价格效率的影响。基于大量的美国股票的流动性，我们发现较高的索引导致较低的股票价格，这是由于盈余公告后的波动更大，以及股价与随机波动的偏差更大。我们推测索引和被动交易引起的信息获取和套利动机减少可能是价格效率下降的主要原因。

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《Financial management》 |2015年第4期|875-904|共30页
作者
Qin Nan; Singal Vijay;
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Christopher Newport Univ, Luter Sch Business, Finance, Newport News, VA 23606 USA;

Virginia Tech, Pamplin Coll Business, Finance, Blacksburg, VA USA;

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正文语种 eng
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Indexing and Stock Price Efficiency

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