Matthew C. Ringgenberg (Utah)

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Matthew C. Ringgenberg

Finance

A seminar by Matthew C. Ringgenberg from the University of Utah

Title: On Index Investing

Abstract: We quantify the effect of index investing on equity markets. We find that index investing alters the composition of investors and changes market dynamics, but we show it does not limit trading by active investors or affect the informational efficiency of prices. Stocks with more index investors have higher share turnover, return correlations, and short interest. However, there is no dierence { precisely estimated { in price informativeness or trading by active investors. Consistent with the predictions in Grossman and Stiglitz (1980), we nd a change in investor composition leads to a reduction in information production, but in equilibrium the fraction of informed investors adjusts such that price informativeness is unchanged.

Start date:

11am Friday, 4 Oct 2019

End date:

12.30pm Friday, 4 Oct 2019

Venue:

CBE LT2

Presenter(s):

Matthew C. Ringgenberg

Updated:   30 September 2019 / Responsible Officer:  CBE Communications and Outreach / Page Contact:  College Web Team