Index tracking and beta arbitrage effects in comovement
本文构建了一个关于标普500指数成分股调整的模型，区分了指数追踪者和贝塔套利者的交易行为，发现两者共同导致低贝塔股票在加入指数后贝塔上升，而高贝塔股票因套利者做空而贝塔上升减弱甚至逆转。
This paper develops a stylised model for S&P 500 index changes with two beta-based styles: index trackers and beta arbitrageurs who trade in both high and low beta event stocks to exploit mean reversion towards one. Arbitrageurs engage in common or contrarian trading patterns relative to index funds depending on whether historical betas are below or above one. Thus, the overall comovement effect has two distinct components. After index additions, pre-event low beta stocks drive the overall beta increases due to common demand – albeit for different reasons - from indexers and arbitrageurs. By contrast, arbitrageur shorting of high beta additions diminishes or sometimes reverses the beta increases for these stocks driven by indexers. Analogous results hold for index deletions.