The Equilibrium Consequences of Indexing
研究指数化在理性预期框架下的均衡后果，发现指数化成本下降会提高指数化普及度，降低指数价格效率但提升相对价格效率，进而增加指数化并提高不知情交易者的福利。
Abstract We develop a benchmark model to study the equilibrium consequences of indexing in a standard rational expectations setting. Individuals incur costs to participate in financial markets, and these costs are lower for individuals who restrict themselves to indexing. A decline in indexing costs directly increases the prevalence of indexing, thereby reducing the price efficiency of the index and augmenting relative price efficiency. In equilibrium, these changes in price efficiency in turn further increase indexing, and raise the welfare of uninformed traders. For well-informed traders, the share of trading gains stemming from market timing increases relative to stock selection trades.