论文标题
Russell 3000重组事件拥挤的证据
Evidence of Crowding on Russell 3000 Reconstitution Events
论文作者
论文摘要
我们开发了一种方法，该方法非常准确地复制了FTSE Russell索引重新建筑，包括由于新的首次公开产品（IPO）而引起的季度重新平衡。尽管仅在我们的索引重建中使用CRSP US库存数据库中可用的数据，但我们通过将其与1989年至2019年之间的原始Russell US索引进行比较，证明了该方法的准确性。还提供了生成复制索引的Python软件包。 作为应用程序，我们使用索引重建协议来计算对Russell 3000年度添加和删除的永久性和临时价格影响，以及新的IPO的季度添加。我们发现，拉塞尔3000指数之后的指数投资组合总体上比每季度遵循指数的人都更加拥挤。这种现象意味着，通过购买新的IPO在季度重新平衡日期附近购买新的IPO，可以大大降低索引策略的交易成本。
We develop a methodology which replicates in great accuracy the FTSE Russell indexes reconstitutions, including the quarterly rebalancings due to new initial public offerings (IPOs). While using only data available in the CRSP US Stock database for our index reconstruction, we demonstrate the accuracy of this methodology by comparing it to the original Russell US indexes for the time period between 1989 to 2019. A python package that generates the replicated indexes is also provided. As an application, we use our index reconstruction protocol to compute the permanent and temporary price impact on the Russell 3000 annual additions and deletions, and on the quarterly additions of new IPOs . We find that the index portfolios following the Russell 3000 index and rebalanced on an annual basis are overall more crowded than those following the index on a quarterly basis. This phenomenon implies that transaction costs of indexing strategies could be significantly reduced by buying new IPOs additions in proximity to quarterly rebalance dates.
