Market ecology of active and passive investors
نویسندگان
چکیده
منابع مشابه
Market Ecology of Active and Passive Investors
We study the role of active and passive investors in an investment market with uncertainties. Active investors concentrate on a single or a few stocks with a given probability of determining the quality of them. Passive investors spread their investment uniformly, resembling buying the market index. In this toy market stocks are introduced as good and bad. If a stock receives sufficient investm...
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We present a theory of excess stock market volatility, in which market movements are due to trades by very large institutional investors in relatively illiquid markets. Such trades generate significant spikes in returns and volume, even in the absence of important news about fundamentals. We derive the optimal trading behavior of these investors, which allows us to provide a unified explanation...
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Executive summary. Since the advent of indexing as an investment strategy, there has been a robust debate over the merits of actively and passively managed funds. As a result, at various times throughout the year, an investor is likely to hear that some percentage of actively managed funds have outperformed the stock market over a given period of time.1 If during the period a majority of active...
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Stock-market trading is increasingly dominated by sophisticated professionals, as opposed to individual investors. Will this trend ultimately lead to greater market efficiency? I consider two complicating factors. The first is crowding—the fact that, for a wide range of “unanchored” strategies, an arbitrageur cannot know how many of his peers are simultaneously entering the same trade. The seco...
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Risk preferences are generally measured with utility functions, which are subjective and usually restrict market agents to be risk averse. The current study investigates investors' preferences toward risk from the index price movement perspective. In a risk neutral market, future prices will increase or decrease with the same probability. However, if the market representative-agents are risk av...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2001
ISSN: 0378-4371
DOI: 10.1016/s0378-4371(01)00256-4