Publications
Publications
- 2023
The Passive-Ownership Share Is Double What You Think It Is
By: Alex Chinco and Marco Sammon
Abstract
Each time a stock gets added to or dropped from a benchmark index, we ask: “How much money would have to be tracking that index to explain the huge spike in rebalancing volume we observe on reconstitution day?” While index funds held 16% of the US stock market in 2021, we put the true passive-ownership share at 33.3%. Our headline number is twice as large because it reflects index funds as well as other kinds of passive investors, such as direct indexers and active managers who are closet indexing.
Keywords
Indexing; Passive Investing; Exchange-traded Funds (ETFs); Russell Reconstitution Day; Trading Volume; Information-based Asset Pricing; Investment; Investment Funds; Asset Pricing
Citation
Chinco, Alex, and Marco Sammon. "The Passive-Ownership Share Is Double What You Think It Is." Working Paper, May 2023.