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i’d love to see a paper about whether passive investing is shrinking the “active float” of stocks and whether that makes them more susceptible to price changes (in both directions) from coordinated active participants, especially when buying things bc they’re going up is in-stylehttps://twitter.com/timsteno/status/1400051088716357642 …
This is basically Mike Green’s argument I think, though I’ve not seen any research that backs it up.
That might be a hard battle. Passive interest % in AMC less than than vanguard group interest in Microsoft so what are we really saying
on a $ value not a % of holdings it works. if you do smids you kinda know how even very small activity can move market in individual names. i think i tweeted about it when i was doing a rebal a few months ago, @SkeleCap might back me up here.
I don't have the paper handy but kolanovic put out a paper estimating that 10% of equity volume was discretionary trading and the rest was associated with ETF create/redeem and things like that, green likes to cite it quite regularly
I hope this won't be seen as a kolanovic endorsement on my part tho lmao
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