Index rebalancing and stock market composition: Do indexes time the market?
研究了市值加权指数因股票市场构成变化（如发行、回购、IPO）而再平衡时，指数基金隐含的市场择时行为，发现再平衡组合年化收益4.61%，并导致指数年化业绩拖累46-69个基点；提出替代指数可节省50个基点。
Value-weighted indexes must rebalance in response to stock market composition changes, e.g., issuance, buybacks, and IPOs. In doing so, existing index funds implicitly engage in market timing. Index funds’ long-short rebalancing portfolios have an annualized return of 4.61% and load negatively on value and profitability factors. We estimate these trades impose a 46–69 bps annual index-level performance drag. We explore alternative value-weighted indexes that rebalance less and delay responding to compositional changes. Despite still closely tracking the market, these indexes improve market timing and lower trading costs, saving 50 bps annually, an order of magnitude greater than index fund fees.