Hao Jiang
Michigan State University
Contact
Address
Loding Complete
Explore Research
New This Week
We study how passive investing affects asset prices. Flows into passive funds raise disproportionately the stock prices of the economys largest firms, and especially those large firms that the market overvalues. These effects are sufficiently strong to cause the aggregate market to rise even when...
We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is significantly correlated with tail risk measures extracted...
Show: results