Skip to Main Content
HBS Home
  • About
  • Academic Programs
  • Alumni
  • Faculty & Research
  • Baker Library
  • Giving
  • Harvard Business Review
  • Initiatives
  • News
  • Recruit
  • Map / Directions
Faculty & Research
  • Faculty
  • Research
  • Featured Topics
  • Academic Units
  • …→
  • Harvard Business School→
  • Faculty & Research→
Publications
Publications
  • 2022
  • Working Paper

The Passive-Ownership Share Is Double What You Think It Is

By: Alex Chinco and Marco Sammon
  • Format:Print
  • | Language:English
ShareBar

Abstract

We estimate that passive investors held 37.8% of the US stock market in 2020. This value comes from studying the closing volumes of index additions and deletions on reconstitution day. 37.8% is more than double the widely accepted previous estimate of 15%, which reflects index-fund holdings but ignores the holdings of direct indexers. Existing information-based asset-pricing models that are calibrated to these previous estimates for the US passive-ownership share give no hint that the numbers are 50% too small. The size of this oversight restricts how useful such models can be to policymakers.

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, August 2022.
  • Read Now

About The Author

Marco Sammon

Finance
→More Publications

More from the Authors

    • 2022
    • Faculty Research

    The Disappearing Index Effect

    By: Robin Greenwood and Marco Sammon
    • 2022
    • Faculty Research

    The Retail Habitat

    By: Toomas Laarits and Marco Sammon
    • 2022
    • Faculty Research

    Retail Investors’ Contrarian Behavior Around News, Attention, and the Momentum Effect

    By: Cheng (Patrick) Luo, Enrichetta Ravina, Marco Sammon and Luis M. Viceira
More from the Authors
  • The Disappearing Index Effect By: Robin Greenwood and Marco Sammon
  • The Retail Habitat By: Toomas Laarits and Marco Sammon
  • Retail Investors’ Contrarian Behavior Around News, Attention, and the Momentum Effect By: Cheng (Patrick) Luo, Enrichetta Ravina, Marco Sammon and Luis M. Viceira
ǁ
Campus Map
Harvard Business School
Soldiers Field
Boston, MA 02163
→Map & Directions
→More Contact Information
  • Make a Gift
  • Site Map
  • Jobs
  • Harvard University
  • Trademarks
  • Policies
  • Accessibility
  • Digital Accessibility
Copyright © President & Fellows of Harvard College