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Abstract: In the present paper we analyze the relationship between index funds and asset prices. In particular, our analysis of daily index fund flows indicates a strong contemporaneous correlation between fund inflows and S&P market returns. We also document a strong negative correlation between fund out-flows and S&P market returns with the exception of outflows from a fund with very high initial investment requirement. These effects may be interpreted in two ways. Either investor supply and demand... (Update)
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BibTeX entry: (Update)
:C1. Goetzmann, William N., and Massimo Massa. 1999. "Index Funds and Stock Market Growth." Working Paper 7033. National Bureau of Economic Research Working Paper Series http://citeseer.ist.psu.edu/goetzmann99index.html More
@misc{ goetzmann99index,
author = "C. Goetzmann and W. Massimo",
title = "Index Funds and Stock Market Growth",
text = ":C1. Goetzmann, William N., and Massimo Massa. 1999. Index Funds and Stock
Market Growth. Working Paper 7033. National Bureau of Economic Research
Working Paper Series",
year = "1999",
url = "citeseer.ist.psu.edu/goetzmann99index.html" }
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