The growth of index funds and the pricing of equity securities: No evidence that indexing influences security prices

Journal of Portfolio Management

Volumn 27, Issue 2, 2001, Pages 9-21

  Malkiel, Burton G ^a   Radisich, Aleksander ^b  

^a PRINCETON UNIVERSITY   (United States)

^b CALIFORNIA STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0035648523     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2001.319788     Document Type: Article

References (9)

1. Beneish, Messod, and Robert Whaley. "An Anatomy of the 'S&P Game': The Effects of Changing the Rules." Journal of Finance, 51, 5 (December 1996), pp. 1909-30.
2. _. "A Scorecard from the S&P Game." The Journal of Portfolio Management, 23, 2 (Winter 1997), pp. 16-23.
3. Edmister, Robert, Stephen Graham, and Wendy Pirie. "Trading Cost Expectations: Evidence from S&P 500 Index Replacement Stock Announcements." Journal of Economics and Finance, 20, 2 (Summer 1996), pp. 75-85.
4. Erwin, Gayle, and James Miller. "The Liquidity Effects Associated with Addition of a Stock to the S&P 500 Index: Evidence from Bid/Ask Spreads." The Financial Review, 33, 1 (February 1998), pp. 131-146.
5. Graham, Steven, and Wendy Pine. "Index Fund Rebalancing and Market Efficiency." Journal of Economics and Finance, 18, 2 (Summer 1994), pp. 219-229.
6. Lynch, Anthony, and Richard Mendenhall. "New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index." Journal of Business, 70, 3 (July 1997), pp. 351-383.
7. Malkiel, Burton G., and John G. Cragg. Expectations and the Structure of Share Prices. Chicago: University of Chicago Press, 1982. Mosebach, Michael, and Mohammad Najand. "Are the Structural Changes in Mutual Funds Investing Driving the U.S. Stock Market to Its Current Levels?" Journal of Financial Research, 22, 3 (Fall 1999), pp. 317-329.
8. Malkiel, Burton G., and John G. Cragg. Expectations and the Structure of Share Prices. Chicago: University of Chicago Press, 1982. Mosebach, Michael, and Mohammad Najand. "Are the Structural Changes in Mutual Funds Investing Driving the U.S. Stock Market to Its Current Levels?" Journal of Financial Research, 22, 3 (Fall 1999), pp. 317-329.
9. Vander Weide, James H., and Willard T. Carleton. "Investor Growth Expectations: Analysts vs. History." The Journal of Portfolio Management, 14, 3 (Spring 1988), pp. 78-82.