Why Indexing Works

Why Indexing Works

J.B. Heaton

Bartlit Beck Herman Palenchar & Scott LLP

Nick Polson

University of ChicagoBooth School of Business

Jan Hendrik Witte

University of OxfordMathematical Institute

October 12, 2015

Abstract:

We develop a simple stock selection model to explain why active equity managers tend to underperform a benchmark index. We motivate our model with the empirical observation that the best performing stocks in a broad market index perform much better than the...

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