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- W2650866763 abstract "Passive investors allocate their capital between the market portfolio and the risk-free asset, whereas active investors invest in individual assets. In a rational expectation model, we show that a CAPM risk-return relation holds. Active investors are indistinguishable from closet indexers, while the constraint of passive investors to the capital market line is binding. Passive investors are not free riders. As more active traders become passive, the proportion of an asset's idiosyncratic risk to total risk increases, comovement in prices increases, comovement in returns decreases, and for any portfolio other than the market portfolio, the Sharpe ratio decreases and the conditional variance of payoff increases." @default.
- W2650866763 created "2017-06-30" @default.
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- W2650866763 date "2017-01-01" @default.
- W2650866763 modified "2023-09-23" @default.
- W2650866763 title "Is Index Trading Benign?" @default.
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- W2650866763 doi "https://doi.org/10.2139/ssrn.2990283" @default.
- W2650866763 hasPublicationYear "2017" @default.
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