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Index Fund Ownership and Stock Price Efficiency : = Evidence From Quarterly Earnings Seasons.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Index Fund Ownership and Stock Price Efficiency :/
Reminder of title:	Evidence From Quarterly Earnings Seasons.
Author:	Lopez, Joe.
Description:	1 online resource (68 pages)
Notes:	Source: Dissertations Abstracts International, Volume: 85-03, Section: A.
Contained By:	Dissertations Abstracts International85-03A.
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9798380177511

Index Fund Ownership and Stock Price Efficiency : = Evidence From Quarterly Earnings Seasons.
Lopez, Joe.

Index Fund Ownership and Stock Price Efficiency :Evidence From Quarterly Earnings Seasons. - 1 online resource (68 pages)

Source: Dissertations Abstracts International, Volume: 85-03, Section: A.

Thesis (Ph.D.)--University of Arkansas, 2023.

Includes bibliographical references

While prior research argues that individual investors benefit from a switch to passive investment in index funds (French 2008, Bond and Garcia 2022), higher levels of index fund ownership of firm shares lead to competing factors that influence a firm's price efficiency (i.e., the speed and accuracy with which a firm's stock price reflects investor consensus on the information provided about a firm). If relative investor sophistication increases as index fund ownership increases, there is a benefit to the firm's price efficiency. Yet, more shares held passively limit the shares available for investors to actively incorporate firm news, adversely impacting price efficiency. In this study, I consider these two competing factors using alternative sources of firm information during its earnings season to explore the impact of index fund ownership on a firm's stock price efficiency. I find evidence of decreased investor disagreement associated with a firm's earnings announcement, indicating a benefit to the firm's price efficiency. Yet, I also find the decrease in investor participation from higher levels of index fund ownership adversely affects a firm's price efficiency when incorporating information based on investor expectations of firm performance from peer disclosures. These contextualized results provide no conclusive evidence on the total impact of index fund ownership at currently observed levels, but should continue to be studied as passive investment increases over time.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2024

Mode of access: World Wide Web

ISBN: 9798380177511Subjects--Topical Terms:

559073
Finance.
Subjects--Index Terms:

Index fundsIndex Terms--Genre/Form:

554714
Electronic books.

Index Fund Ownership and Stock Price Efficiency : = Evidence From Quarterly Earnings Seasons.
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500 $a Source: Dissertations Abstracts International, Volume: 85-03, Section: A.
500 $a Advisor: Allee, Kris.
502 $a Thesis (Ph.D.)--University of Arkansas, 2023.
504 $a Includes bibliographical references
520 $a While prior research argues that individual investors benefit from a switch to passive investment in index funds (French 2008, Bond and Garcia 2022), higher levels of index fund ownership of firm shares lead to competing factors that influence a firm's price efficiency (i.e., the speed and accuracy with which a firm's stock price reflects investor consensus on the information provided about a firm). If relative investor sophistication increases as index fund ownership increases, there is a benefit to the firm's price efficiency. Yet, more shares held passively limit the shares available for investors to actively incorporate firm news, adversely impacting price efficiency. In this study, I consider these two competing factors using alternative sources of firm information during its earnings season to explore the impact of index fund ownership on a firm's stock price efficiency. I find evidence of decreased investor disagreement associated with a firm's earnings announcement, indicating a benefit to the firm's price efficiency. Yet, I also find the decrease in investor participation from higher levels of index fund ownership adversely affects a firm's price efficiency when incorporating information based on investor expectations of firm performance from peer disclosures. These contextualized results provide no conclusive evidence on the total impact of index fund ownership at currently observed levels, but should continue to be studied as passive investment increases over time.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2024
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 559073
653 $a Index funds
653 $a Price efficiency
653 $a Stock
653 $a Investor participation
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