Date of Submission
Campus Only Senior Thesis
Bachelor of Arts
© 2019 John M Everett
In theory, as a greater share of capital is invested passively rather than actively managed, stock prices will be freer to diverge from fair value, resulting in marginally less efficient equity markets. The effect should be an amplification of managerial skill, which manifests itself in the tails of α distributions. I find evidence that mutual fund α distributions differ increasingly as a function of the share of assets invested in passive vehicles. However, I find no evidence that the “tailedness” of the distributions increases as a function of the share of assets invested passively. This may be a result of the limited sample size, or it may be that higher levels of passive share are required for this effect to materialize.
Everett, John M., "Passive Investing's Implications for Actively Managed Funds" (2019). CMC Senior Theses. 2242.
This thesis is restricted to the Claremont Colleges current faculty, students, and staff.