The Distortion in Prices Due to Passive Investing
研究了被动投资（指数化）如何降低股票价格效率、导致资产价格联动，并降低资本资产定价模型的统计拟合度，对理解市场效率有重要意义。
In the capital asset pricing model (CAPM), it is ex post optimal to index. To examine the implications of market indexing, we develop a conditional CAPM with costless private information in which some investors are, for exogenous reasons, ex ante indexers. We show that, as more nonindexers become indexers, the price efficiency of stocks diminishes, asset prices comove, and the statistical fit (measured by R 2 ) of the CAPM regression decreases. We also report asset prices at the limit, when 100% of the investors are market indexers. This paper was accepted by Tyler Shumway, finance.