Passive Ownership and Price Informativeness
87 Pages Posted: 27 Nov 2018 Last revised: 4 Mar 2024
Date Written: March 2, 2024
Abstract
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: Suggested Citation
Sammon, Marco, Passive Ownership and Price Informativeness (March 2, 2024). Available at SSRN: https://ssrn.com/abstract=3243910 or http://dx.doi.org/10.2139/ssrn.3243910
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