How Does Passive Investing Affect Information Aggregation?
Speaker: Prof David Porter
Affiliation: Chapman University
Zoom: https://uqz.zoom.us/j/82603079317
Abstract: We investigate the causal effects of passive investing on information aggregation and market quality metrics by developing a novel laboratory experiment that introduces Index trackers with exogenous passive investment flows. We find that, while improving liquidity, Index tracking hurts information aggregation, confirming our main hypothesis. Furthermore, we observe violations of the law of one price, leading to widespread and persistent arbitrage opportunities. Additionally, our research uncovers that Active traders, particularly those with private information about asset values and high cognitive ability, reap benefits from the introduction of Index tracking.
About Centre for Unified Behavioural and Economic Sciences (CUBES) e-seminars
An online seminar series on Experimental and Behavioural Economics organized by the Centre for Unified Behavioural and Economic Sciences (CUBES) of the School of Economics at The University of Queensland.
Our seminars take place fortnightly via Zoom on Wednesdays at 10 am or 5 pm (AEST), depending on whether the guest speaker is streaming from US/Australia or Europe respectively.
Seminars consist of a 60-minute presentation followed by 15 minutes of Q&A.
Local time for seminars
You can check the corresponding times for your own time zone using the following links for each session: 10am, 5pm.
How to register
Clicking the button below gives you the option to register for: (i) all seminars (ii) seminars that take place at 10am or 5pm, or (iii) individual seminars.
Email invitations with a ZOOM link to the event will be sent 48 hours before each seminar.
If you wish to attend an upcoming seminar within the 48-hour window, please drop an email to Lionel Page.
