Publications
Publications
- 2022
The Passive-Ownership Share Is Double What You Think It Is
By: Alex Chinco and Marco Sammon
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.