文澜学术系列讲座 第 236 期 加拿大阿尔伯塔大学 Randall Morck 教授 :“How Indexed Investment Erodes Stock Market Efficiency”

发布者:陈丹妮发布时间:2023-06-13浏览次数:57

主题|TopicHow Indexed Investment Erodes Stock Market Efficiency

时间|Time06.20(周二)10: 00-11:30

地点|Venue文澴楼809会议室|Meeting Room 809WENHUAN


主讲|Speaker

Randall教授现为加拿大阿尔伯塔大学商学院杰出金融学首席教授 (Stephen A. Jarislowsky Distinguished Chair in Finance, Distinguished University Professor, Alberta School of BusinessUniversity of Alberta),研究生毕业于耶鲁大学,博士毕业于哈佛大学。他主要研究商业历史、政治经济以及公司金融等领域,在 The Journal of Financial Economics, Journal of Finance, Review of Finance, Review of Financial Studies, The Journal of Financial and Quantitative Analysis, Journal of Corporate Finance, Review of Economics and Statistics, Journal of Accounting Research 等国际知名期刊发表了多篇论文。


摘要|Abstract

Because actively managed portfolios do not outperform market indexes in informationally efficient stock markets, savings increasingly flow to lower-cost index funds, which simply buy and hold the stocks in a major index, such as the S&P 500. If this diverts capital away from moving prices towards fundamentals, increased indexing may render stock markets decreasingly efficient. Using firms added to or dropped from the S&P 500, we find that exogenous idiosyncratic information events move firms' stocks significantly less when those firms are in the index than when they are not. Idiosyncratic information events are used because, as Samuelson noted, stock market efficiency is more evident in individual stocks' idiosyncratic price changes than in market-wide price movements. Alternative explanations are tested and rejected. Increased indexing may thus be undermining the efficient markets hypothesis that supports its viability, and much else in the real economy.