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

2022; RELX Group (Netherlands); Linguagem: Inglês

10.2139/ssrn.4188052

1556-5068

Alex Chinco, Marco Sammon,

Corporate Finance and Governance

Download This Paper Open PDF in Browser Add Paper to My Library Share: Permalink Using these links will ensure access to this page indefinitely Copy URL The Passive-Ownership Share Is Double What You Think It Is 45 Pages Posted: 10 Sep 2022 See all articles by Alex ChincoAlex ChincoCity University of NY, Baruch College, Zicklin School of BusinessMarco SammonHarvard Business School Date Written: August 11, 2022 Abstract We estimate that passive investors held at least 37.8% of the US stock market in 2020. This estimate is based on the closing volumes of index additions and deletions on reconstitution days. 37.8% is more than double the widely accepted previous value of 15%, which represents the combined holdings of all index funds. This suggests that index membership is the single most important consideration when modeling investors' portfolio choice. In addition, existing models studying the rise of passive investing give no hint that prior estimates for the passive-ownership share were 50% too small. The size of this oversight restricts how useful these models can be for policymakers. Keywords: Passive ownership, Index funds, Reconstitution day, Information-based asset-pricing models JEL Classification: G11, G14, G23 Suggested Citation: Suggested Citation Chinco, Alexander and Sammon, Marco, The Passive-Ownership Share Is Double What You Think It Is (August 11, 2022). Available at SSRN: https://ssrn.com/abstract=4188052 Alexander Chinco (Contact Author) City University of NY, Baruch College, Zicklin School of Business ( email ) One Bernard Baruch WayNew York, NY 10010United States HOME PAGE: http://www.alexchinco.com Marco Sammon Harvard Business School ( email ) Boston, MA 02163United States Download This Paper Open PDF in Browser Do you have a job opening that you would like to promote on SSRN? Place Job Opening Paper statistics Downloads 230 Abstract Views 596 PlumX Metrics Related eJournals Capital Markets: Asset Pricing & Valuation eJournal Follow Capital Markets: Asset Pricing & Valuation eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS 3,031 PAPERS 31,809 Mutual Funds, Hedge Funds, & Investment Industry eJournal Follow Mutual Funds, Hedge Funds, & Investment Industry eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS 2,967 PAPERS 15,921 This Journal is curated by: René M. Stulz at Ohio State University (OSU) - Department of Finance Capital Markets: Market Efficiency eJournal Follow Capital Markets: Market Efficiency eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS 2,939 PAPERS 21,767 Wharton Research Data Services (WRDS) Research Paper Series Follow Wharton Research Data Services (WRDS) Research Paper Series Subscribe to this free journal for more curated articles on this topic FOLLOWERS 2,082 PAPERS 3,769 This Journal is curated by: Robert Zarazowski at Wharton Research Data Services (WRDS), Rui Dai at Wharton Research Data Services (WRDS) Regulation of Financial Institutions eJournal Follow Regulation of Financial Institutions eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS 1,692 PAPERS 10,977 This Journal is curated by: René M. Stulz at Ohio State University (OSU) - Department of Finance Wealth Management eJournal Follow Wealth Management eJournal Subscribe to this free journal for more curated articles on this topic FOLLOWERS 455 PAPERS 1,258 This Journal is curated by: Inna Okounkova at Columbia University Feedback Feedback to SSRN Feedback (required) Email (required) Submit If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday. Submit a Paper Section 508 Text Only Pages SSRN Quick Links SSRN Solutions Research Paper Series Conference Papers Partners in Publishing Jobs & Announcements Newsletter Sign Up SSRN Rankings Top Papers Top Authors Top Organizations About SSRN SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs Copyright Terms and Conditions Privacy Policy We use cookies to help provide and enhance our service and tailor content. To learn more, visit Cookie Settings. This page was processed by aws-apollo-4dc in 0.218 seconds