The index premium and its hidden cost for index funds
Data up to Jan 2025
Total Citations Per Year
Abstract
References (49)
On Persistence in Mutual Fund Performance
1997 • 16,085 citations
The Cross‐Section of Expected Stock Returns
1992 • 15,031 citations
The arbitrage theory of capital asset pricing
1976 • 7,056 citations
The Cross-Section of Expected Stock Returns
1992 • 5,405 citations
A Simple Model of Capital Market Equilibrium with Incomplete Information
1987 • 5,293 citations
On Persistence in Mutual Fund Performance
1997 • 3,173 citations
A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory
1977 • 3,099 citations
Do Demand Curves for Stocks Slope Down?
1986 • 1,451 citations
How Active Is Your Fund Manager? A New Measure That Predicts Performance
2009 • 1,389 citations
A Simple Model of Capital Market Equilibrium with Incomplete Information
1987 • 1,247 citations
Does Arbitrage Flatten Demand Curves for Stocks?
2002 • 897 citations
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital
2010 • 797 citations
Trading Mechanisms and Stock Returns: An Empirical Investigation
1987 • 780 citations
The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation
2004 • 572 citations
New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index
1997 • 518 citations
The effect of large block transactions on security prices: A cross-sectional analysis
1987 • 501 citations
Large-block transactions, the speed of response, and temporary and permanent stock-price effects
1990 • 468 citations
Demand Curves for Stocks Do Slope Down: New Evidence from an Index Weights Adjustment
2000 • 385 citations
On the Cross‐sectional Relation between Expected Returns and Betas
1994 • 368 citations
An Anatomy of the “S&P Game”: The Effects of Changing the Rules
1996 • 364 citations
Asset Pricing in a Production Economy with Incomplete Information
1986 • 335 citations
Short- and long-term demand curves for stocks: theory and evidence on the dynamics of arbitrage
2004 • 323 citations
Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion?
1994 • 322 citations
Do Demand Curves for Stocks Slope Down?
1986 • 299 citations
Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy
1986 • 263 citations
Sunshine Trading and Financial Market Equilibrium
1991 • 259 citations
Portfolio Inefficiency and the Cross‐section of Expected Returns
1995 • 249 citations
Trading Mechanisms and Stock Returns: An Empirical Investigation
1987 • 193 citations
Asset Price Dynamics with Slow-Moving Capital
2010 • 139 citations
Why Do Demand Curves for Stocks Slope Down?
2009 • 138 citations
The Price Elasticity of Demand for Common Stock
1991 • 136 citations
Optimal investment under partial information
2010 • 125 citations
On the Cross-Sectional Relation between Expected Returns and Betas
1994 • 123 citations
The Russell Reconstitution Effect
2003 • 114 citations
Price and volume effects of changes in MSCI indices – nature and causes
2004 • 103 citations
Asset Pricing in a Production Economy with Incomplete Information
1986 • 100 citations
Index Changes and Losses to Index Fund Investors
2006 • 92 citations
Do Demand Curves for Small Stocks Slope Down?
2004 • 87 citations
Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy
1986 • 74 citations
Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage-Induced or Statistical Illusion?
1994 • 65 citations
An Anatomy of the "S & P Game": The Effects of Changing the Rules
1996 • 60 citations
Equity Index Funds Have Lost Their Way
2002 • 55 citations
Incomplete information equilibria: Separation theorems and other myths
2006 • 52 citations
Portfolio Inefficiency and the Cross-Section of Expected Returns
1995 • 49 citations
On Russell index reconstitution
2006 • 38 citations
Index and Index-Futures Returns
1989 • 36 citations
The Price Elasticity of Demand for Common Stock
1991 • 33 citations
Stock Price Effects Associated with Index Replacements in Germany
2001 • 26 citations
Selection of an Optimal Index Rule for an Index Fund
2008 • 9 citations