Passive Investing and the Rise of Mega-Firms

We thank Ulf Axelson, Zahi Ben-David, Shaun Davies, Francesco Franzoni, Robin Greenwood, Caleb Griffin, Paul Huebner, Loukas Karabarbounis, Jane Li, Ian Martin, Anna Pavlova, Lorenzo Pandolfi, Rodolfo Prieto, Francesco Sangiorgi, Yang Song and Savi Sundaresan, seminar participants at BIS, Carlo Alberto, Exeter, LSE, Panagora Asset Management and Shanghai Advanced Institute of Finance, and conference participants at the Adam Smith Asset Pricing, American Finance Association, CICF, CRETE, FIRS, Four Corners, INSEAD Finance Symposium, LSE Paul Woolley Centre and Q-Group for helpful comments. We are grateful to the LSE Paul Woolley Centre for financial support, and to Farbod Ekbatani and Pete Trairatanobhas for research assistance. This paper supersedes an earlier paper circulated with the title “Tracking Biased Weights: Asset Pricing Implications of Value-Weighted Indexing.” Please address correspondence to Dimitri Vayanos, d.vayanos@lse.ac.uk. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

• December 22, 2020
• September 6, 2022