Index mutual fund ownership and financial reporting quality
We examine the relation between index mutual fund ownership and financial reporting
quality measured by the propensity for fraudulent statements (Beneish's (1999) M-Score) …
quality measured by the propensity for fraudulent statements (Beneish's (1999) M-Score) …
The impact of active and passive investment on market efficiency: a simulation study
We create a simulated financial market and examine the effect of different levels of active
and passive investment on fundamental market efficiency. In our simulated market, active …
and passive investment on fundamental market efficiency. In our simulated market, active …
Passive Institutional Ownership, R2 Trends, and Price Informativeness
RJ DeLisle, DW French, MG Schutte - Financial Review, 2017 - Wiley Online Library
A distinctive trend in the capital markets over the past two decades is the rise in equity
ownership of passive financial institutions. We propose that this rise has a negative effect on …
ownership of passive financial institutions. We propose that this rise has a negative effect on …
Can active investment managers beat the market? A study from the US large cap equity segment
J Šindelář - Finance Research Letters, 2022 - Elsevier
This paper deals with the ongoing rise of index (passive) investing on the US large-cap
equity market and its manifestations. We have constituted two scenarios of the 1990–2021 …
equity market and its manifestations. We have constituted two scenarios of the 1990–2021 …
Factor investing revisited
D Blitz - Journal of Index Investing, Forthcoming, 2015 - papers.ssrn.com
This paper takes another look at the recommendation of Blitz [2012] to allocate strategically
to the value, momentum and low-volatility factor premiums in the equity market. Five years of …
to the value, momentum and low-volatility factor premiums in the equity market. Five years of …
[PDF][PDF] Active versus passive investing: Evidence from the 2009-2017 market
D Prondzinski, M Miller - Journal of Accounting and Finance, 2018 - na-businesspress.com
Modern Portfolio Theory explores how risk-averse investors construct portfolios to optimize
expected returns against market risk and quantifies the benefits of diversification. Two …
expected returns against market risk and quantifies the benefits of diversification. Two …
Passive ownership and earnings manipulation
We examine the relation between passive ownership and financial reporting quality
measured by Beneish's (1999) earnings' manipulation score (M-score). We find that passive …
measured by Beneish's (1999) earnings' manipulation score (M-score). We find that passive …
Market Volatility and Momentum: Evidence from Pakistani Stock Exchange
This study explores the relationship between market volatility and momentum profitability.
This study indicates that market state volatility has significant power to forecast momentum …
This study indicates that market state volatility has significant power to forecast momentum …
Stock picking in the US market and the effect of passive investments
C De Franco - Journal of Asset Management, 2021 - Springer
In this paper, we strove to provide evidence about the alleged structural changes in the US
equity markets that have dramatically reduced the potential for stock picking strategies to …
equity markets that have dramatically reduced the potential for stock picking strategies to …
[HTML][HTML] Analysis of fundamental indexation as an efficient approach to active investing
V Maksim - Review of Business and Economics Studies, 2018 - cyberleninka.ru
For many years researchers have been arguing on whether active investing is superior to
passive investing by giving theoretical and empirical rationale underlying their beliefs. A …
passive investing by giving theoretical and empirical rationale underlying their beliefs. A …