search query: @author Massa, M. / total: 14
reference: 11 / 14
| Author: | Goetzman, W.N. Massa, M. |
| Title: | Index funds and stock market growth |
| Journal: | Journal of Business
2003 : JAN, VOL. 76:1, p. 1-28 |
| Index terms: | Asset valuation Stock markets Volatility |
| Freeterms: | Index funds |
| Language: | eng |
| Abstract: | The authors use 2 years of daily flows for three major Standard and Poor's index funds to analyze the relationship among index funds, asset prices, and volatility. They find strong contemporaneous correlation between inflows and returns, no evidence for positive feedback trading, and evidence that negative market returns may induce subsequent sales. Market volatility affects investors as dynamic risk sharing, but higher volatility does not drive investors from the market. |
SCIMA