Benchmarking Intensity
构建了衡量股票受基准指数影响程度的指标（基准化强度），利用罗素1000/2000指数断点发现该指标变化能预测机构持股变化，且需求弹性低，基准化强度上升会降低未来股票收益。
Abstract Benchmarking incentivizes fund managers to invest a fraction of their funds’ assets in their benchmark indexes, and such demand is inelastic. We construct a measure of inelastic demand a stock attracts, benchmarking intensity (BMI), computed as its cumulative weight in all benchmarks, weighted by assets following each benchmark. Exploiting the Russell 1000/2000 cutoff, we show that changes in stocks’ BMIs instrument for changes in ownership of benchmarked investors. The resultant demand elasticities are low. We document that both active and passive fund managers buy additions to their benchmarks and sell deletions. Finally, an increase in BMI lowers future stock returns. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.