Does Stock Indexing Impede or Facilitate Arbitrage and Price ...

The conventional argument is that indexing is akin to free riding on other people's research since index investors rely on prices without ...

The Effect of Indexing on Price Discovery and Limits to Arbitrage

Indexing can facilitate information arbitrage and increase price efficiency for more arbitrage-constrained microcap stocks.

Identifying the Effect of Stock Indexing: Impetus or Impediment to ...

Whereas the critics often argue that indexing hinders informational efficiency, indexing can facilitate information arbitrage and promote price discovery.

Identifying the Effect of Stock Indexing: Impetus or Impediment to ...

While index investing has no discernible effect on the ability of arbitrageurs to trade and impound news into the prices of large- and mid-cap ...

Identifying the Effect of Stock Indexing: Impetus or Impediment to ...

The rise of stock indexing has raised concerns that index investing impedes arbitrage and degrades price discovery. This article uses ...

Identifying the Effect of Stock Indexing: Impetus or Impediment to ...

The rise of stock indexing has raised concerns that index investing impedes arbitrage and degrades price discovery. This article uses Russell's ...

EXCHANGE TRADED FUNDS, INDEX ARBITRAGE, AND THE ...

ETFs' use of Silent indices will decrease transactions costs and prevent investors from losing millions of dollars. The Silent index fund will prevent ...

Indexing and Stock Price Efficiency - jstor

9 A sample with only S&P 500 stocks has relatively low cross-sectional dispersion in passive ownership, as all S&P 500 index funds will hold each S&P stock in ...

On the Economic Consequences of Index-Linked Investing

... Shares Price Index is in the LEI for the U.K., and so on for other of their ... "Index-Futures Arbitrage and the Behavior of. Stock Index Futures Prices.

Does Index Arbitrage Distort the Market Reaction to Shocks?

ETFs facilitate price discovery, hence when new information arrives it can be incorporated into the ETF price first. As the ETF price deviates from the price of ...

Limits to Arbitrage and Commodity Index Investment: Front-Running ...

This paper studies the unique rolling activity of commodity index in futures markets and shows that the resulting price impact is ...

On the Economic Consequences of Index-Linked Investing

That this trading affects index members' share prices is not surprising. Index Inclusion Effects. A stock is deleted from the S&P 500 when it falls below a ...

How ETF Arbitrage Works - Investopedia

Mispricing can occur between two similar securities, like two S&P 500 ETFs, or within a single security, where the trading value differs from the net asset ...

Index Funds Surge In Popularity But Pose Risks For The Market

Index funds mostly take this away. There is no longer a choice of which stock to buy or sell. “The price of a stock is determined by demand ...

The Disappearing Index Effect - Harvard Business School

They show that stocks with closer substitutes, and thus lower arbitrage risk, should experience lower price pressure. This is closely related to the idea that ...

Program Trading and Stock Index Arbitrage - ScienceDirect.com

As a derivative instrument, the fair price for an index futures contract is determined completely by the current level of the index in the stock market and the ...

Indexing and stock market serial dependence around the world

(2018), such arbitrage can propagate price pressure from the index product to the underlying index.2 It could also operate in the other direc- tion by ...

At what point will index fund investing stop working? - Reddit

The money in an index fund is used to purchase shares of all the equities in the index. The underlying intrinsic value and performance of ...

stock indexes | CLS Blue Sky Blog

Does Stock Indexing Impede or Facilitate Arbitrage and Price Discovery? By ... What is the effect of stock indexing on information arbitrage and the efficacy of ...

standard & poor's depositary receipts and the market quality of s&p ...

hypothesis that SPDRs facilitate index arbitrage to adjust futures and cash prices ... Exchange like shares of stock, arbitrageurs can easily engage in index ...