Identifying the Effect of Stock Indexing: Impetus or Impediment to Arbitrage and Price Discovery?
利用罗素指数调整，研究指数投资对信息套利和价格发现的因果影响，发现指数投资对大型和中型股套利无显著影响，但加快了微型股的价格调整速度，表明指数投资通过放松套利约束促进了知情交易。
Abstract 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 effect of index investing on information arbitrage and price discovery. Although index investing has no discernible effect on the ability of arbitrageurs to trade and impound news into the prices of large- and mid-cap stocks, we find that index investing increases the speed of price adjustment to news for micro-cap stocks. Our causal evidence identifies the relaxation of arbitrage constraints as a mechanism through which indexing facilitates informed trading for more arbitrage-constrained micro-cap stocks.