We present a general equilibrium model in which heterogeneous investors choose among bonds, stocks, and an Index Fund holding the market portfolio. We show that, under standard assumptions, an equilibrium exists. We then derive predictions for equilibrium asset prices, investor behavior, and...

An idealized model of the investment process redefines the respective roles of security analysts and portfolio managers, quantifies such concepts as activity and aggressiveness, and explains how the individual analyst's efforts at forecasting returns translate into improved portfolio performance

Numerous studies have documented abnormal returns available to investors around index changes. S&P 500 index fund managers face competitive pressures to replicate the index as close as possible or risk the loss of investors to competing funds. As a result, these fund managers have incentive to...

Corporate America today is astonishingly beholden to three large financial institutions: BlackRock, Vanguard, and State Street Global Advisors. As investors have moved their money into low cost, highly-diversified investment vehicles known as index funds, the so-called “Big Three”...

Few papers provide research about options returns, and the few available are focused in the analysis from the perspective of the long side of the option contract, i.e. the buyer that pays the price and her expected and realized option return. The main point of our research work is to provide a...

The aim of this paper is to analyse the development strategies of an innovative Special Purpose Vehicle (SPV) for sustainable and responsible investments (SRI). This contribution represents a premiere for the Romanian capital market, an emerging market with low liquidity and limited...

Using a comprehensive dataset of first, second and third generation commodity indices, we investigate the potential diversification benefits in equity-bond portfolios. The results show that first generation commodity indices are outperformed by enhanced indices. Second generation indices provide...

This paper shows that low-expense index funds draw investor attention to a fund family, and the investors' subsequent incomplete search within funds in the family raises flows of actively managed funds in the same family by 10%. These spillover effects are more salient among retail investors and...