We empirically examine the effects of index investing using predictions derived from a Grossman-Stiglitz framework. An exogenous increase in index investing leads to lower information production as measured by Google searches, EDGAR views, and analyst reports, yet price informativeness remains unchanged. These findings are consistent with an equilibrium in which investors choose to gather private information whenever it is profitable. As index investing increases, there are fewer privately-informed active investors (so overall information production drops), but the mix of investors adjusts until the returns to active investing are unchanged. As a result, passive investing does not undermine price efficiency.

我们使用来自 Grossman-Stiglitz 框架的预测来实证检验指数投资的影响。根据谷歌搜索、EDGAR 观点和分析师报告衡量，指数投资的外生增加导致信息产量下降，但价格信息量保持不变。这些发现与投资者选择在有利可图时收集私人信息的均衡相一致。随着指数投资的增加，私人知情的积极投资者越来越少（因此整体信息产量下降），但投资者的组合会调整，直到积极投资的回报保持不变。因此，被动投资不会破坏价格效率。