The change in the cost of capital that results from a divestiture strategy can be closely
approximated by a simple function of three parameters:(1) the fraction of socially conscious …

Each time a stock gets added to or dropped from an index, we ask:“How much money would
have to be tracking that index to explain the huge spike in rebalancing volume we observe …

I show that passive ownership negatively affects the degree to which stock prices anticipate
earnings announcements. Estimates across several research designs imply that the rise in …

Retail investors trade hard-to-value stocks. Stocks with a high share of retail-initiated trades
are composed of more intangible capital, have longer duration cash-flows and a higher …

In acquisitions of private firms, new blockholders (NewBs) are expected to form when
substantial stocks are paid. Investors react strongly to a NewB signal, given the perceived …

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 develop two new, simple measures to quantify active fund decisions at the individual
position level. The intuition is to separate passive rebalancing induced by flows and position …

Firms exploit inelastic demand during index rebalancing events by increasing the supply of
shares. I introduce a novel measure of inelastic demand based on index funds with low …

Valuing Stocks With Earnings * Page 1 Valuing Stocks With Earnings * Sebastian
Hillenbrand†1 and Odhrain McCarthy‡2 1Harvard Business School 2NYU Stern School of …

Inventory models posit that return autocorrelation is affected by collateral, volume, and
expected volatility. We show that daily market autocorrelations are lower on negative return …