Passive Investing and the Rise of Mega-Firms
研究了被动投资基金的资金流入如何不成比例地推高经济中最大型企业的股价，尤其是那些噪音交易者需求高的大型企业，并解释了为何即使资金仅从主动基金转向被动基金，整体市场也可能上涨。
Abstract We study how passive investing affects asset prices. Flows into passive funds disproportionately raise the stock prices of the economy’s largest firms, especially those large firms in high demand by noise traders. Because of this effect, the aggregate market can rise even when flows are entirely due to investors switching from active to passive funds. Intuitively, passive flows increase the idiosyncratic risk of large firms in high demand, which discourages investors from correcting the flows’ effects on prices. Consistent with our theory, prices and idiosyncratic volatilities of the largest S&P500 firms rise the most following flows into that index.