We document the effects of mechanical buying by CRSP-index-tracking funds on post-IPO
returns and IPO deal structure. Leveraging a difference-indifferences style design built on a …

We find that index funds incur adverse selection costs from changes in the composition of
the stock market. This is because indices rebalance in response to composition changes …

Each time a stock is bought or sold by a passive index fund, who takes the other side? We
use a combination of datasets to account for as many shares as possible in every stock that …