Econometrica, 89 (1), 77-112
We show theoretically and empirically that flows into index funds raise the prices of large stocks in the index disproportionately more than the...
Journal of Finance, 74 (3), 1139-1173.
Journal of Finance, 74 (1), 371-399.
Exploitative momentum investing would shrivel in the absence of benchmarkers.
We present a model of a financial market where some traders are “cursed” when investing in a risky asset, failing to fully appreciate what prices...