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- W3118125488 abstract "We show theoretically and empirically that flows into index funds raise the prices of large stocks in the index disproportionately more than the prices of small stocks. Conversely, flows predict a high future return of the small-minus-large index portfolio. This finding runs counter to the CAPM, and arises when noise traders distort prices, biasing index weights. When funds tracking value-weighted indices experience inflows, they buy mainly stocks in high noise-trader demand, exacerbating the distortion. During our sample period 2000-2019, a small-minus-large portfolio of S&P500 stocks earns ten percent per year, while no size effect exists for non-index stocks." @default.
- W3118125488 created "2021-01-05" @default.
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- W3118125488 date "2020-12-01" @default.
- W3118125488 modified "2023-10-14" @default.
- W3118125488 title "Passive Investing and the Rise of Mega-Firms" @default.
- W3118125488 doi "https://doi.org/10.3386/w28253" @default.
- W3118125488 hasPublicationYear "2020" @default.
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