Passive Ownership and Price Informativeness

84 Pages Posted: 27 Nov 2018 Last revised: 23 Oct 2023

Date Written: October 20, 2023


I show that passive ownership negatively affects the degree to which stock prices anticipate earnings announcements. Estimates across several research designs imply that the rise in passive ownership over the last 30 years has caused the amount of information incorporated into prices ahead of earnings announcements to decline by approximately 1/4th of its whole sample mean and 1/6th of its whole sample standard deviation.

Keywords: Passive Ownership, ETFs, Market Efficiency

JEL Classification: G12, G14

Suggested Citation

Sammon, Marco, Passive Ownership and Price Informativeness (October 20, 2023). Available at SSRN: or

Marco Sammon (Contact Author)

Harvard Business School ( email )

Boston, MA 02163
United States

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