Primary Capital Market Transactions and Index Funds
研究发现，CRSP指数跟踪基金在IPO后5天的机械买入行为影响股票回报和IPO交易结构，预期指数基金需求使快速通道IPO表现优于非快速通道IPO超过5个百分点，并在指数纳入日达到峰值后3周内显著反转。
Abstract We document how mechanical buying by CRSP-index-tracking funds 5 days post-IPO affects stock returns and IPO deal structure. Using a difference-in-differences design, we show that expected indexer demand causes Fast-Track IPOs to outperform their non-Fast-Track counterparts by over five percentage points, peaking at the index inclusion date and reverting significantly within 3 weeks. Anticipated CRSP index inclusion also affects IPO terms, with Fast-Track IPOs raising 6% more capital than their non-Fast-Track counterparts. Our findings support a proposed index rule change to eliminate a $5.8 billion “shadow tax” paid to intermediaries by index fund investors and firms raising capital through IPOs.