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The index premium and its hidden cost for index funds

Citations

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Cited by:

  1. Kenechukwu E. Anadu & Mathias S. Kruttli & Patrick E. McCabe & Emilio Osambela, 2018. "The Shift from Active to Passive Investing : Potential Risks to Financial Stability?," Finance and Economics Discussion Series 2018-060r1, Board of Governors of the Federal Reserve System (U.S.), revised 29 Jun 2020.
  2. Schnitzler, Jan, 2018. "S&P 500 inclusions and stock supply," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 341-356.
  3. Afego, Pyemo N., 2017. "Effects of changes in stock index compositions: A literature survey," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 228-239.
  4. Kashyap, Anil K & Kovrijnykh, Natalia & Li, Jian & Pavlova, Anna, 2021. "The benchmark inclusion subsidy," Journal of Financial Economics, Elsevier, vol. 142(2), pages 756-774.
  5. Jiang, Hao & Vayanos, Dimitri & Zheng, Lu, 2020. "Tracking biased weights: asset pricing implications of value-weighted indexing," LSE Research Online Documents on Economics 118847, London School of Economics and Political Science, LSE Library.
  6. Yeejin Jang & Kyung Yun (Kailey) Lee, 2022. "Taking a long view: Investor trading horizon and earnings management strategy," International Review of Finance, International Review of Finance Ltd., vol. 22(1), pages 36-71, March.
  7. Danbolt, Jo & Hirst, Ian & Jones, Edward, 2018. "Gaming the FTSE 100 index," The British Accounting Review, Elsevier, vol. 50(4), pages 364-378.
  8. Duffy, John & Friedman, Dan & Rabanal, Jean Paul & Rud, Olga, 2022. "The impact of ETF index inclusion on stock prices," UiS Working Papers in Economics and Finance 2022/2, University of Stavanger.
  9. Friedrich-Carl Franz, 2020. "Forecasting index changes in the German DAX family," Journal of Asset Management, Palgrave Macmillan, vol. 21(2), pages 135-153, March.
  10. Abo Rodrigue Majoie, 2021. "Economic Consequences of Section Transfers in Japan: Change in Investor Base," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 10(2), pages 1-1.
  11. Yen-Cheng Chang & Harrison Hong & Inessa Liskovich, 2015. "Regression Discontinuity and the Price Effects of Stock Market Indexing," The Review of Financial Studies, Society for Financial Studies, vol. 28(1), pages 212-246.
  12. DeCoste, Joseph, 2025. "Comovement and S&P 500 membership," Global Finance Journal, Elsevier, vol. 65(C).
  13. Brøgger, Søren Bundgaard, 2021. "The market impact of predictable flows: Evidence from leveraged VIX products," Journal of Banking & Finance, Elsevier, vol. 133(C).
  14. Andrey Pavlov & Eva Steiner & Susan Wachter, 2018. "The Consequences of REIT Index Membership for Return Patterns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 46(1), pages 210-250, March.
  15. Chinco, Alex & Sammon, Marco, 2024. "The passive ownership share is double what you think it is," Journal of Financial Economics, Elsevier, vol. 157(C).
  16. Dahlquist, Magnus & Odegaard, Bernt Arne, 2018. "A Review of Norges Bank's Active Management of the Government Pension Fund Global," UiS Working Papers in Economics and Finance 2018/1, University of Stavanger.
  17. Terence C. Burnham & Harry Gakidis & Jeffrey Wurgler, 2017. "A Flexible and Customizable Method for Assessing Cognitive Abilities," Working Papers 17-10, Chapman University, Economic Science Institute.
  18. Alessandro Micheli & Eyal Neuman, 2020. "Evidence of Crowding on Russell 3000 Reconstitution Events," Papers 2006.07456, arXiv.org, revised Sep 2022.
  19. Martijn Cremers & Ankur Pareek & Zacharias Sautner, 2020. "Short-Term Investors, Long-Term Investments, and Firm Value: Evidence from Russell 2000 Index Inclusions," Management Science, INFORMS, vol. 66(10), pages 4535-4551, October.
  20. Kalle Rinne & Matti Suominen, 2014. "Mutual Funds’ Returns from Providing Liquidity and Costs of Immediacy," LSF Research Working Paper Series 14-01, Luxembourg School of Finance, University of Luxembourg.
  21. Cremers, Martijn & Petajisto, Antti & Zitzewitz, Eric, 2013. "Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation," Critical Finance Review, now publishers, vol. 2(1), pages 1-48, July.
  22. Terence C. Burnham & Harry Gakidis & Jeffrey Wurgler, 2018. "Investing in the Presence of Massive Flows: The Case of MSCI Country Reclassifications," Financial Analysts Journal, Taylor & Francis Journals, vol. 74(1), pages 77-87, February.
  23. Pyemo N. Afego & Ernest N. Biktimirov, 2025. "Market reactions of African and non-African firms to changes in the S&P Africa 40 index," Journal of Asset Management, Palgrave Macmillan, vol. 26(4), pages 355-376, July.
  24. Sina Ehsani & Donald Lien, 2015. "Effects of Passive Intensity on Aggregate Price Dynamics," The Financial Review, Eastern Finance Association, vol. 50(3), pages 363-391, August.
  25. Lajbcygier, Paul & Sojka, Jeremy, 2015. "The viability of alternative indexation when including all costs," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 109-141.
  26. Emilio Ricardo Carvalhais & Antonio Marcos Duarte Júnior, 2015. "Indexation of Fixed-Income Portfolios to the IMA-B," Brazilian Business Review, Fucape Business School, vol. 12(3), pages 116-142, May.
  27. Sanghyuk Yoo & Sangyong Jeon & Seunghwan Jeong & Heesoo Lee & Hosun Ryou & Taehyun Park & Yeonji Choi & Kyongjoo Oh, 2021. "Prediction of the Change Points in Stock Markets Using DAE-LSTM," Sustainability, MDPI, vol. 13(21), pages 1-15, October.
  28. Agnes Cheng, C.S. & Xie, Jing & Zhong, Yuxiang, 2023. "Common institutional blockholders and tail risk," Journal of Banking & Finance, Elsevier, vol. 148(C).
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