Federal ID: 91-6001537
ISSN: 0022-1090 (Print) | 1756-6916 (Online)
Index Investing and Asset Pricing under Information Asymmetry and Ambiguity Aversion
David Hirshleifer, Chong Huang, and Siew Hong Teoh ♦ In a setting with a tradable value-weighted market index, ambiguity averse investors do not trade, and the index is not mean-variance efficient. But when a passive fund offers the risk-adjusted market…