Presidential Address: Investment Noise and Trends
研究过去几十年个人直接持股比例下降与指数化投资增长、主动管理降费趋同之间的关系，建立均衡模型解释噪音交易减少如何降低错误定价并缩小主动管理空间。
ABSTRACT During the past few decades, the fraction of the equity market owned directly by individuals declined significantly. The same period witnessed investment trends that include the growth of indexing as well as shifts by active managers toward lower fees and more index‐like investing. I develop an equilibrium model linking these investment trends to the decline in individual ownership, interpreting the latter as a reduction in noise trading. Active management corrects most noise trader–induced mispricing, and the fraction left uncorrected shrinks as noise traders' stake in the market declines. Less mispricing then dictates a smaller footprint for active management.