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DESCRIPTION:Mr. Pouya Behmaram a doctoral student at 91şÚÁĎÍř in t
 he area of Finance will be presenting his research proposal entitled:\n\nT
 wo Essays on Empirical Asset Pricing and Dynamics of Passive Investing\n\n
 Wednesday\, April 10\, 2024 at 9:00am – 10:30am \n\n(The presentation will
  be conducted on zoom)\n\nStudent Committee Chair: Professor David Schumac
 her\n\nAbstract:\n\nThis thesis delves into the repercussions of the trans
 ition from active to passive investing\, examining its multifaceted effect
 s on asset pricing\, expected returns\, investor demand\, and price elasti
 city. The first essay “From Active to Passive: The Consequences for Demand
  Elasticity” examines the impact of the shift to passive investing on asse
 t demand and price elasticity within the U.S. equity market. It introduces
  a new metric for measuring stock-level passive ownership\, which is then 
 integrated into the existing demand system. The analysis reveals a signifi
 cant reduction in the price elasticity of demand across all types of inves
 tors\, with passive investment pressure predominantly affecting larger-cap
  stocks. The results indicate that the surge in passive investing accounts
  for roughly 15% of the increased inelasticity of demand for stocks. Furth
 ermore\, the inclusion of this passive ownership metric in the demand mode
 l not only diminishes the previously unexplained latent demand but also de
 monstrates a positive relationship between a stock’s demand and its level 
 of passive ownership.\n\nIn the second paper “From Realized to Expected: T
 he Passive Investing Impact”\, I use the Indexing Inclusion Ratio (IXI) as
  a measure of passive ownership to assess its increasing impact on U.S. eq
 uity markets. The findings reveal that high-indexed stocks highly out-perf
 orm their low-indexed counterparts\, primarily due to the influx of passiv
 e capital flows rather than fundamental value. By analyzing the expected r
 eturn both ex-ante through implied costs of capital and ex-post by adjusti
 ng for passive flows and earnings anomalies\, I show that high-indexed sto
 cks exhibit lower expected returns\, indicating a potential correction whe
 n the trend toward passive investing reaches equilibrium. Additionally\, I
  show that the recent underperformance of value and small-cap stocks is in
 trinsically linked to the secular passive shift.\n\n\n
DTSTART:20240410T130000Z
DTEND:20240410T143000Z
SUMMARY:PhD Research Proposal Presentation: Pouya Behmaram 
URL:/desautels/channels/event/phd-research-proposal-pr
 esentation-pouya-behmaram-356554
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