Benchmarking incentivizes fund managers to invest a fraction of their funds assets in their benchmark indexes, and such demand is inelastic. We construct a measure of inelastic demand a stock attracts, benchmarking intensity (BMI), computed as its cumulative weight in all benchmarks, weighted by assets following each benchmark. Exploiting the Russell 1000/2000 cutoff, we show that changes in stocks BMIs instrument for changes in ownership of benchmarked investors. The resultant demand elasticities are low. We document that both active and passive fund managers buy additions to their benchmarks and sell deletions. Finally, an increase in BMI lowers future stock returns. (JEL G11, G12, G23)

中文翻译：

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基准强度

基准化激励基金经理将其基金资产的一小部分投资于基准指数，而这种需求缺乏弹性。我们构建了一个衡量股票吸引的非弹性需求的指标，即基准强度 (BMI)，计算为其在所有基准中的累积权重，并由每个基准之后的资产加权。利用罗素 1000/2000 截止值，我们表明股票 BMI 的变化有助于基准投资者所有权的变化。由此产生的需求弹性很低。我们记录了主动型和被动型基金经理都在其基准上买入增持并卖出减持。最后，BMI 的增加会降低未来的股票回报。(JEL G11, G12, G23)