Why indexing works

Heaton, JB; Polson, NG; Witte, JH

Polson, NG (reprint author), Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA.

APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2017; 33 (6): 690

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......

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