The impact of passive investing on corporate valuations
To examine the impact of passive investing on corporate valuations, the authors run panel regressions of price‐to‐earnings ratio on aggregate money flow into S&P 500 index funds and control for various accounting variables that impact price‐to‐earnings ratio. These regressions involve two samples of stocks. The first sample consists of S&P 500 constituents. The second consists of large‐cap stocks that are not constituents of the S&P 500. The authors also run a set of separate regressions with price‐to‐book ratio rather than price‐to‐earnings ratio as the dependent variable.
Nanigian, David, "The impact of passive investing on corporate valuations" (2012). Faculty Publications. 108.