We develop a benchmark model to study the equilibrium consequences of indexing in a standard rational expectations setting. Individuals incur costs to participate in financial markets, and these costs are lower for individuals who restrict themselves to indexing. A decline in indexing costs directly increases the prevalence of indexing, thereby reducing the price efficiency of the index and augmenting relative price efficiency. In equilibrium, these changes in price efficiency in turn further increase indexing, and raise the welfare of uninformed traders. For well-informed traders, the share of trading gains stemming from market timing increases relative to stock selection trades.

中文翻译：

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索引的平衡后果

我们开发了一个基准模型来研究在标准理性预期设置中索引的均衡后果。个人参与金融市场会产生成本，而这些成本对于限制自己指数化的个人来说较低。指数化成本的下降直接增加了指数化的普遍性，从而降低了指数的价格效率并提高了相对价格效率。在均衡状态下，价格效率的这些变化反过来会进一步增加指数化，并提高不知情交易者的福利。对于消息灵通的交易者来说，与选股交易相比，来自市场时机的交易收益份额增加了。