被动投资的隐藏成本
交易与市场微观结构
2025-10-22 v3 理论经济学
综合金融
数理金融
摘要
被动投资因其低费用以及聚焦于零跟踪误差（而非股票选择）的简单性而获得了巨大的流行。然而，我们的分析表明，被动（零跟踪误差）策略，即在指数重新配置当天的收盘后才购买（此前已宣布将添加的股票）的做法，相较于提前以最小额外跟踪误差逐步获取所需少量股份的策略，结果产生数百个基点成本。此外，我们展示在所分析的所有情景下，构建小库存并在重新配置事件时提供流动性的交易者，均可在假设风险最小的前提下，持续获取数百个基点的利润，甚至更多。
引用
@article{arxiv.2506.21775,
title = {On the hidden costs of passive investing},
author = {Iro Tasitsiomi},
journal= {arXiv preprint arXiv:2506.21775},
year = {2025}
}
备注
v2-Introduction: expanded to incorporate additional empirical evidence from recent studies that further substantiate the motivation and real-world relevance of the work. Discussion and Conclusion: included illustrative price path linking the modeling framework to observed data and estimates of the performance drag. All other sections and results remain unchanged